NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Dirk Niepelt

Study Center Gerzensee
Neues Schloss
3115 Gerzensee
Switzerland

E-Mail: dirk.niepelt@szgerzensee.ch

NBER Working Papers and Publications

September 2017Sovereign Bond Prices, Haircuts and Maturity
with Tamon Asonuma, Romain Rancière: w23864
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.

Published: Tamon Asonuma & Dirk Niepelt & Romain Ranciere, 2017. "Sovereign Bond Prices, Haircuts and Maturity," IMF Working Papers, vol 17(119).

March 2016Sovereign Debt with Heterogeneous Creditors
with Harris Dellas
in NBER International Seminar on Macroeconomics 2015, Michael B. Devereux, Francesco Giavazzi, and Kenneth D. West, editors
 
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