| Description |
1 online resource (38 pages) |
| Series |
IMF working paper, 1018-5941 ; WP/17/119 |
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IMF working paper ; WP/17/119.
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| Contents |
Cover; Contents; I. Introduction; II. Haircuts; A. Haircut Measures; B. Data; III. New Stylized Facts; A. Haircuts; B. Bond Prices; IV. The Model; A. Setup; B. First Result; C. Second Result; D. Interpretation; V. Default Probability Term Structure; VI. Conclusion; References; Figures; 1. SZ Recovery and Maturity; 2. Exchange Recovery and Maturity; 3. Bond Price Differentials; 4. Default Probability Term Structure; Tables; 1. Scope of Dataset; 2. Cross-sectional Regression Results; 3. Panel Regression Results; 4. Panel Regression Results; Appendices; I. Dataset: Selected Recent Restructurings |
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II. Haircuts / Recovery RatesIII. SZ Haircuts Robustness Check; IV. Bond Prices; V. Estimation of Term Structure of Default Risk; VI. Default Probability Term Structure |
| Summary |
Rejecting a common assumption in the sovereign debt literature, we document that creditor losses ("haircuts") during sovereign restructuring episodes are asymmetric across debt instruments. We code a comprehensive dataset on instrument-specific haircuts for 28 debt restructurings with private creditors in 1999-2015 and find that haircuts on shorter-term debt are larger than those on debt of longer maturity. In a standard asset pricing model, we show that increasing short-run default risk in the run-up to a restructuring episode can explain the stylized fact. The data confirms the predicted relation between perceived default risk, bond prices, and haircuts by maturity |
| Notes |
Print version record |
| Subject |
Debt relief -- Econometric models
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Debts, Public -- Econometric models
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Government securities -- Prices -- Econometric models
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BUSINESS & ECONOMICS -- Public Finance.
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Debt relief -- Econometric models
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Debts, Public -- Econometric models
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| Form |
Electronic book
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| Author |
Niepelt, Dirk, author
|
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Ranciere, Romain, author
|
| ISBN |
9781484301227 |
|
1484301226 |
|
1484301099 |
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9781484301098 |
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