TY - BOOK ID - 78437567 TI - Sovereign Bond Prices, Haircuts and Maturity AU - Asonuma, Tamon. AU - Niepelt, Dirk. AU - Ranciere, Romain. PY - 2017 SN - 1484301226 9781484301227 1484301099 9781484301098 1484301102 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Exports and Imports KW - Financial Risk Management KW - Investments: General KW - Investments: Bonds KW - Macroeconomics KW - International Lending and Debt Problems KW - Open Economy Macroeconomics KW - Debt KW - Debt Management KW - Sovereign Debt KW - General Financial Markets: General (includes Measurement and Data) KW - Price Level KW - Inflation KW - Deflation KW - Investment & securities KW - International economics KW - Finance KW - Asset prices KW - Bonds KW - Securities KW - Debt default KW - Debt restructuring KW - Prices KW - Financial institutions KW - External debt KW - Asset and liability management KW - Debts, External KW - Financial instruments KW - Greece UR - https://www.unicat.be/uniCat?func=search&query=sysid:78437567 AB - 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. ER -