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Sovereign Bond Prices, Haircuts and Maturity

2017-05-22 Business & Economics
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Release : 2017-05-22
Genre : Business & Economics
Kind : eBook
Book Rating : 099/5 ( reviews)

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Book Synopsis Sovereign Bond Prices, Haircuts and Maturity by : Mr.Tamon Asonuma

Download or read book Sovereign Bond Prices, Haircuts and Maturity written by Mr.Tamon Asonuma. This book was released on 2017-05-22. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Sovereign Bond Prices, Haircuts and Maturity

2017-05-22 Business & Economics
Download Sovereign Bond Prices, Haircuts and Maturity PDF Online Free

Author :
Release : 2017-05-22
Genre : Business & Economics
Kind : eBook
Book Rating : 102/5 ( reviews)

GET EBOOK


Book Synopsis Sovereign Bond Prices, Haircuts and Maturity by : Mr.Tamon Asonuma

Download or read book Sovereign Bond Prices, Haircuts and Maturity written by Mr.Tamon Asonuma. This book was released on 2017-05-22. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Soverign Bond Prices, Haircuts and Maturity

2017
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Release : 2017
Genre :
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis Soverign Bond Prices, Haircuts and Maturity by : Tamon Asonuma

Download or read book Soverign Bond Prices, Haircuts and Maturity written by Tamon Asonuma. This book was released on 2017. Available in PDF, EPUB and Kindle. Book excerpt:

Sovereign Debt Restructurings 1950-2010

2012-08-01 Business & Economics
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Release : 2012-08-01
Genre : Business & Economics
Kind : eBook
Book Rating : 531/5 ( reviews)

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Book Synopsis Sovereign Debt Restructurings 1950-2010 by : Mr.Udaibir S. Das

Download or read book Sovereign Debt Restructurings 1950-2010 written by Mr.Udaibir S. Das. This book was released on 2012-08-01. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a comprehensive survey of pertinent issues on sovereign debt restructurings, based on a newly constructed database. This is the first complete dataset of sovereign restructuring cases, covering the six decades from 1950–2010; it includes 186 debt exchanges with foreign banks and bondholders, and 447 bilateral debt agreements with the Paris Club. We present new stylized facts on the outcome and process of debt restructurings, including on the size of haircuts, creditor participation, and legal aspects. In addition, the paper summarizes the relevant empirical literature, analyzes recent restructuring episodes, and discusses ongoing debates on crisis resolution mechanisms, credit default swaps, and the role of collective action clauses.

Belize's 2016-17 Sovereign Debt Restructuring - Third Time Lucky?

2018-05-22 Business & Economics
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Release : 2018-05-22
Genre : Business & Economics
Kind : eBook
Book Rating : 651/5 ( reviews)

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Book Synopsis Belize's 2016-17 Sovereign Debt Restructuring - Third Time Lucky? by : Mr.Tamon Asonuma

Download or read book Belize's 2016-17 Sovereign Debt Restructuring - Third Time Lucky? written by Mr.Tamon Asonuma. This book was released on 2018-05-22. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the causes, processes, and outcomes of Belize’s 2016–17 sovereign debt restructuring—its third episode in last 10 years. As was the case in the earlier two restructurings, in 2006–07 and in 2012–13, the 2016–17 debt restructuring was executed through collaborative engagement with creditors outside an IMF-supported program. While providing liquidity relief and partially addressing long-term debt sustainability concerns, the restructuring will need to be underpinned by ambitious fiscal consolidation and growth-enhancing structural reforms to secure durable gains.

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