Sovereign Bond Prices, Haircuts and Maturity
IMF Working Papers, May 22, 2017
Source details
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- Sovereign Bond Prices, Haircuts and Maturity
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Bibliographic details
- Authors: Tamon Asonuma, Dirk Niepelt, Romain Ranciere
- Published: May 22, 2017
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484301098.001
Core finding
- Creditor losses (“haircuts”) during sovereign restructuring episodes are asymmetric across debt instruments.
- Haircuts on shorter-term debt are larger than haircuts on debt of longer maturity.
Data and empirical scope
- Comprehensive dataset coded on instrument-specific haircuts for 28 debt restructurings with private creditors in 1999–2015.
- Empirical evidence confirms the relation between perceived default risk, bond prices, and haircuts by maturity.
Analytical approach and interpretation
- Uses a standard asset pricing model to show that increasing short-run default risk in the run-up to a restructuring episode can explain the stylized fact that shorter-term debt faces larger haircuts.
- The model links perceived default risk, term structure of bond prices, and realized instrument-specific haircuts.
Key statistics and publication metadata
- Authors: Tamon Asonuma, Dirk Niepelt, Romain Ranciere
- Publication date: May 22, 2017
- Series: Working Paper No. 2017/119
- Volume: 2017; Issue: 119
- Pages: 37
- DOI: https://doi.org/10.5089/9781484301098.001
- Stock No: WPIEA2017119
- ISBN: 9781484301098
- ISSN: 1018-5941
- Subject tags: Asset and liability management, Asset prices, Bonds, Debt default, Debt restructuring, External debt, Financial institutions, Prices, Securities
- Keywords: Asset prices, bond maturity, bond price differential, Bond Prices, Bonds, coupon rate, Debt default, Debt Restructuring, Default, Default Probability, Haircuts, longer-term bond, Maturity, price difference, recovery rate, Securities, Sovereign Debt, term structure, WP
Source: IMF Working Paper "Sovereign Bond Prices, Haircuts and Maturity" (Working Paper No. 2017/119) by Tamon Asonuma, Dirk Niepelt, and Romain Ranciere, May 22, 2017.
Content in this bundle
- Sovereign Bond Prices, Haircuts and Maturity, WP/17/119, May 2017