Sovereign Bond Prices Haircuts and Maturity is popular PDF and ePub book, written by Mr.Tamon Asonuma in 2017-05-22, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Sovereign Bond Prices Haircuts and Maturity can be Read Online from any device for your convenience.
Sovereign Bond Prices Haircuts and Maturity Book PDF 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. 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.
Detail Book of Sovereign Bond Prices Haircuts and Maturity PDF
- Author : Mr.Tamon Asonuma
- Release : 22 May 2017
- Publisher : International Monetary Fund
- ISBN : 9781484301098
- Genre : Business & Economics
- Total Page : 37 pages
- Language : English
- PDF File Size : 17,9 Mb
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