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Sovereign Defaults: The Price of Haircuts

Cover: American Economic Journal: Macroeconomics, 5 (3)

Cover: American Economic Journal: Macroeconomics, 5 (3)

Christoph Trebesch, Juan J. Cruces – 2013

A main puzzle in the sovereign debt literature is that defaults have only minor effects on subsequent borrowing costs and access to credit. This paper comes to a different conclusion. We construct the first complete database of investor losses ("haircuts") in all restructurings with foreign banks and bondholders from 1970 until 2010, covering 180 cases in 68 countries. We then show that restructurings involving higher haircuts are associated with significantly higher subsequent bond yield spreads and longer periods of capital market exclusion. The results cast doubt on the widespread belief that credit markets "forgive and forget."

Titel
Sovereign Defaults: The Price of Haircuts
Verfasser
Christoph Trebesch, Juan J. Cruces
Verlag
American Economic Association
Ort
Nashville, TN
Schlagwörter
Teilprojekt D4
Datum
2013
Erschienen in
American Economic Journal: Macroeconomics, 5 (3), 85-117.
Sprache
eng
Art
Text