{
  "title": "Sovereign Bond Prices, Haircuts and Maturity",
  "publication": "IMF Working Papers, May 22, 2017",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2017/05/22/sovereign-bond-prices-haircuts-and-maturity-44931",
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  "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.",
  "sections": [
    {
      "heading": "Core finding",
      "content": "- Creditor losses (“haircuts”) during sovereign restructuring episodes are asymmetric across debt instruments.\n- Haircuts on shorter-term debt are larger than haircuts on debt of longer maturity."
    },
    {
      "heading": "Data and empirical scope",
      "content": "- Comprehensive dataset coded on instrument-specific haircuts for 28 debt restructurings with private creditors in 1999–2015.\n- Empirical evidence confirms the relation between perceived default risk, bond prices, and haircuts by maturity."
    },
    {
      "heading": "Analytical approach and interpretation",
      "content": "- 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.\n- The model links perceived default risk, term structure of bond prices, and realized instrument-specific haircuts."
    },
    {
      "heading": "Key statistics and publication metadata",
      "content": "- Authors: Tamon Asonuma, Dirk Niepelt, Romain Ranciere\n- Publication date: May 22, 2017\n- Series: Working Paper No. 2017/119\n- Volume: 2017; Issue: 119\n- Pages: 37\n- DOI: https://doi.org/10.5089/9781484301098.001\n- Stock No: WPIEA2017119\n- ISBN: 9781484301098\n- ISSN: 1018-5941\n- Subject tags: Asset and liability management, Asset prices, Bonds, Debt default, Debt restructuring, External debt, Financial institutions, Prices, Securities\n- 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\n\nSource: 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.\n\n---\n\n Content in this bundle\n\n- Sovereign Bond Prices, Haircuts and Maturity, WP/17/119, May 2017\n  - Sovereign Bond Prices, Haircuts and Maturity, WP/17/119, May 2017 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Sovereign Bond Prices, Haircuts and Maturity, WP/17/119, May 2017 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2017/05/22/sovereign-bond-prices-haircuts-and-maturity-44931"
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    "Authors: Tamon Asonuma, Dirk Niepelt, Romain Ranciere",
    "Published: May 22, 2017",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781484301098.001",
    "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.",
    "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.",
    "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.",
    "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",
    "**Sovereign Bond Prices, Haircuts and Maturity, WP/17/119, May 2017**"
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