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|z 9781484301098
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|a 1018-5941
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|a Asonuma, Tamon.
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|a Sovereign Bond Prices, Haircuts and Maturity /
|c Tamon Asonuma, Dirk Niepelt, Romain Ranciere.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2017.
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|a 1 online resource (37 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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.
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|a Mode of access: Internet
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|a Niepelt, Dirk.
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|a Ranciere, Romain.
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|a IMF Working Papers; Working Paper ;
|v No. 2017/119
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2017/119/001.2017.issue-119-en.xml
|z IMF e-Library
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