Collective action clauses: How do they affect sovereign bond yields?

• 成果类型: Article
• 署名作者: Bardozzetti, Alfredo; Dottori, Davide
• 署名单位: European Central Bank; Bank of Italy; European Central Bank; Bank of Italy
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2013.11.006
• 发表日期: 2014
• 页码: 286-303
• 关键词: Collective action clauses (CAC); Sovereign yields; Debt restructuring; default; panel data

摘要

We study the effects of the adoption of collective action clauses (CACs) on government bond yields by exploiting secondary market data on sovereign bonds quoted in international markets from March 2007 to April 2011. CACs are assessed security by security. Using a panel data approach, we find a U-shaped effect of CACs on yields according to the credit rating of the issuer. While the impact is negligible for the highest ratings, a significant yield discount emerges for mid-range ratings, which is smaller for bad ratings and possibly insignificant for the worst ratings. This relationship appears fairly robust across a number of checks. This evidence may reflect the fact that CACs are valuable because they help with orderly restructuring unless the perceived probability of default is too small. Nevertheless, at low ratings, this effect can be weakened by an increasing risk of moral hazard. (C) 2013 Elsevier B.V. All rights reserved.