Sovereign bond prices, haircuts and maturity*

• 成果类型: Article
• 署名作者: Asonuma, Tamon; Niepelt, Dirk; Ranciere, Romain
• 署名单位: International Monetary Fund; University of Bern; University of Southern California
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2022.103689
• 发表日期: 2023
• 关键词: sovereign debt; sovereign default; Debt restructuring; Bond prices; Haircuts; maturity; Restructuring probability

摘要

We document that creditor losses (haircuts) during sovereign debt restructurings vary across debt maturity. In our novel dataset on instrument-specific haircuts suffered by private creditors in 1999-2020 we find larger losses on short- than long-term debt, independently of the specific haircut measure we use. A standard asset pricing model rationalizes our findings under two assumptions, both of which are satisfied in the data: increasing short-run restructuring risk in the run-up to a restructuring, and high exit yields. We relate our findings to the policy debate on restructuring procedures.