Sovereign defaults: The price of haircuts

American Economic Journal: Macroeconomics

Volumn 5, Issue 3, 2013, Pages 85-117

  Cruces, Juan J ^a   Trebesch, Christoph ^b  

^a UNIVERSIDAD TORCUATO DI TELLA   (Argentina)

^b UNIVERSITY OF MUNICH   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84880392123     PISSN: 19457707     EISSN: 19457715     Source Type: Journal    
DOI: 10.1257/mac.5.3.85     Document Type: Article

References (92)

1. Abbas, S. Ali, Nazim Belhocine, Asmaa ElGanainy, and Mark Horton. 2010. "A Historical Public Debt Database." International Monetary Fund (IMF) Working Paper 10/245.
2. Acharya, Viral V., and Raghuram G. Rajan. 2011. "Sovereign Debt, Government Myopia, and the Financial Sector." National Bureau of Economic Research (NBER) Working Paper 17542.
3. Aguiar, Mark, and Gita Gopinath. 2006. "Defaultable Debt, Interest Rates and the Current Account." Journal of International Economics 69 (1): 64-83.
4. Alesina, Alberto, and Beatrice Weder. 2002. "Do Corrupt Governments Receive Less Foreign Aid?" American Economic Review 92 (4): 1126-37.
5. Allison, Paul. 2002. "Bias in Fixed-Effects Cox Regression with Dummy Variables." http://www.statisticalhorizons.com/wp-content/uploads/2012/01/BiasFE-Cox.pdf.
6. Amador, Manuel. 2003. "A Political Model of Sovereign Debt Repayment." http://citeseerx.ist.psu.edu/viewdoc/download;jsessionid=C8859BC7492F0E57FBD94E49D45FE517?doi=10.1.1.178.6242&rep=rep1&type=pdf.
7. Andritzky, Jochen. 2006. Sovereign Default Risk Valuation: Implications of Debt Crises and Bond Restructurings. New York: Springer.
8. Arellano, Cristina. 2008. "Default Risk and Income Fluctuations in Emerging Economies." American Economic Review 98 (3): 690-712.
9. Arslanalp, Serkan, and Peter Blair Henry. 2005. "Is Debt Relief Efficient?" Journal of Finance 60 (2): 1017-51.
10. Arteta, Carlos, and Galina Hale. 2008. "Sovereign Debt Crises and Credit to the Private Sector." Journal of International Economics 74 (1): 53-69.
11. Asonuma, Tamon, and Christoph Trebesch. 2013. "Preemptive versus Post-Default Debt Restructurings." Unpublished.
12. Asonuma, Tamon. 2011. "Serial Default and Debt Renegotiation." Unpublished.
13. Bai, Yan, and Jing Zhang. 2012. "Duration of Sovereign Debt Renegotiation." Journal of International Economics 86 (2): 252-68.
14. Barclays Capital. 1987-2010. "Yield to Worst on US Corporate High Yield Index." (accessed March 2012).
15. Beck, Thorsten, George Clarke, Alberto Groff, Philip Keefer, and Patrick Walsh. 2001. "New Tools in Comparative Political Economy: The Database of Political Institutions." World Bank Economic Review 15 (1): 165-76.
16. Bedford, Paul, Adrian Penalver, and Chris Salmon. 2005. "Resolving Sovereign Debt Crises: The Market-based Approach and the Role of the IMF." Bank of England Financial Stability Review 18 (2): 91-100.
17. Benczur, Peter, and Cosmin L. Ilut. 2009. "Evidence for Relational Contracts in Sovereign Bank Lending." http://public.econ.duke.edu/~brossi/NBERNSF/Ilut.pdf.
18. Benjamin, David, and Mark L. J. Wright. 2009. "Recovery Before Redemption? A Theory of Delays in Sovereign Debt Renegotiations." http://www.aeaweb.org/aea/2011conference/program/retrieve.php?pdfid=72.
19. Bi, Ran. 2008. " 'Beneficial Delays' in Debt Restructuring Negotiations." International Monetary Fund (IMF) Working Paper 08/38.
20. Borensztein, Eduardo, and Ugo Panizza. 2009. "The Costs of Sovereign Default." IMF Staff Papers 56 (4): 683-741.
21. Borri, Nicola, and Adrien Verdelhan. 2012. "Sovereign Risk Premia." Unpublished.
22. Brambor, Thomas, William Roberts Clark, and Matt Golder. 2006. "Understanding Interaction Models: Improving Empirical Analyses." Political Analysis 14 (1): 63-82.
23. Buchheit, Lee, and Mitu Gulati. 2002. "Sovereign Bonds and the Collective Will." Emory Law Journal 51 (4): 1317-63.
24. Bulow, Jeremy, and Kenneth Rogoff. 1989a. "A Constant Recontracting Model of Sovereign Debt." Journal of Political Economy 97 (1): 155-78.
25. Bulow, Jeremy, and Kenneth Rogoff. 1989b. "Sovereign Debt: Is to Forgive to Forget?" American Economic Review 79 (1): 43-50.
26. Catão, Luis, Ana Fostel, and Sandeep Kapur. 2009. "Persistent Gaps and Default Traps." Journal of Development Economics 89 (2): 271-84.
27. Citibank. 2010. "Can Greece Learn Anything from Latin America?" Emerging Markets Macro View, April 28.
28. Claessens, Stijn, Ishac Diwan, and Eduardo Fernández-Arias. 1992. "Recent Experience with Commercial Bank Debt Reduction." World Bank Policy Research Working Paper 995.
29. Cline, William R. 1995. International Debt Reexamined. Washington, DC: Institute for International Economics.
30. Cole, Harold L., and Patrick Kehoe. 1998. "Models of Sovereign Debt: Partial versus General Reputations." International Economic Review 39 (1): 55-70.
31. Cruces, Juan J., and Christoph Trebesch. 2013. "Sovereign Defaults: The Price of Haircuts: Dataset." American Economic Journal: Macroeconomics. http://dx.doi.org/10.1257/mac.5.3.85.
32. Das, Udaibir S., Michael G. Papaioannou, and Christoph Trebesch. 2012. "Sovereign Debt Restructurings 1950-2010: Literature Survey, Data, and Stylized Facts." International Monetary Fund (IMF) Working Paper 12/203.
33. Dealogic. 2010. "Primary Market Data on Sovereign Bonds (DCM Analytics) and Sovereign Syndicated Loans (Loan Analytics)." http://www.dealogic.com/en/fixedincome.htm (accessed December 2010).
34. Dell'Ariccia, Giovanni, Isabel Schnabel, and Jeromin Zettelmeyer. 2006. "How Do Official Bailouts Affect the Risk of Investing in Emerging Markets?" Journal of Money, Credit and Banking 38 (7): 1689-1714.
35. Depetris Chauvin, Nicolas, and Aart Kraay. 2005. "What Has 100 Billion Dollars Worth of Debt Relief Done for Low-Income Countries?" http://siteresources.worldbank.org/DEC/Resources/ChauvinKraayWhatHasDebtReliefAccomplishedSept2005.pdf.
36. D'Erasmo, Pablo. 2011. "Government Reputation and Debt Repayment." http://econweb.umd.edu/~derasmo/research/default/reputation_and_repayment.pdf.
37. Deutsche Bank. 2010. "Sovereign Debt Crises: Lessons from EM." Emerging Markets Monthly, May 13.
38. Díaz-Cassou, Javier, Aitor Erce-Domínguez, and Juan Vázquez-Zamora. 2008. "Recent Episodes of Sovereign Debt Restructurings. A Case-Study Approach." Bank of Spain Occasional Paper 0804.
39. Dikhanov, Yuri. 2004. "Historical Present Value of Debt in Developing Countries." Unpublished.
40. Durbin, Erik, and David Ng. 2005. "The Sovereign Ceiling and Emerging Market Corporate Bond Spreads." Journal of International Money and Finance 24 (4): 631-49.
41. Eaton, Jonathan, and Raquel Fernández. 1995. "Sovereign Debt." In Handbook of International Economics, Vol. 3, edited by Gene M. Grossman and Kenneth Rogoff, 2031-77. Amsterdam: North- Holland.
42. Eaton, Jonathan, and Mark Gersovitz. 1981. "Debt with Potential Repudiation: Theoretical and Empirical Analysis." Review of Economic Studies 48 (2): 289-309.
43. Economist Intelligence Unit (EIU). 2010. "EIU Country Data." www.eiu.com/site_info.asp?info_ name=ps_countryData (accessed December 2010).
44. Eichengreen, Barry. 1989. "The US Capital Market and Foreign Lending, 1920-1955." In Developing Country Debt and Economic Performance: The International Financial System, Vol. 1, edited by Jeffrey Sachs, 107-55. Chicago: University of Chicago Press.
45. Eichengreen, Barry, and Ashoka Mody. 2000. "What Explains Changing Spreads on Emerging-Market Debt?" In Capital Flows and the Emerging Economies: Theory, Evidence and Controversies, edited by Sebastián Edwards, 107-34. Chicago: University of Chicago Press.
46. Eichengreen, Barry, and Richard Portes. 1986. "Debt and Default in the 1930s: Causes and Consequences." European Economic Review 30 (3): 599-640.
47. Eichengreen, Barry, and Richard Portes. 1989. "After the Deluge: Default, Negotiation, and Readjustment during the Interwar Years." In The International Debt Crisis in Historical Perspective, edited by Barry Eichengreen and Peter H. Lindert, 12-47. Cambridge, MA: MIT Press.
48. Eichengreen, Barry, and Richard Portes. 2000. "Debt Restructuring With and Without the IMF." Unpublished.
49. Esteves, Rui Pedro. 2007. "Quis custodiet quem? Sovereign Debt and Bondholders' Protection Before 1914." University of Oxford Economics Series Working Paper 323.
50. Finger, Harald, and Mauro Mecagni. 2007. "Sovereign Debt Restructuring and Debt Sustainability: An Analysis of Recent Cross-Country Experience." International Monetary Fund (IMF) Occasional Paper 255.
51. Gelos, Gaston R., Ratna Sahay, and Guido Sandleris. 2011. "Sovereign Borrowing by Developing Countries: What Determines Market Access?" Journal of International Economics 83 (2): 243-54.
52. Gennaioli, Nicola, Alberto Martin, and Stefano Rossi. 2010. "Sovereign Default, Domestic Banks and Financial Institutions." Centre for Economic Policy Research (CEPR) Discussion Paper 7955.
53. Goldberger, Arthur. 1991. A Course in Econometrics. Cambridge, MA: Harvard University Press.
54. Grossman, Herschel I., and John B. van Huyck. 1988. "Sovereign Debt as a Contingent Claim: Excusable Default, Repudiation, and Reputation." American Economic Review 78 (5): 1088-97.
55. Institutional Investor. 1979-2010. "Country Credit Ratings." http://www.institutionalinvestor.com/Research-and-Rankings.html (accessed November 2010).
56. Jorgensen, Erika, and Jeffrey Sachs. 1989. "Default and Renegotiation of Latin American Foreign Bonds in the Interwar Period." In The International Debt Crisis in Historical Perspective, edited by Barry Eichengreen and Peter H. Lindert, 48-85. Cambridge, MA: MIT Press.
57. J.P. Morgan. 2004. "EMBI Global and EMBI Global Diversified: Rules and Methodology." December.
58. J.P. Morgan. 2010. "EMBIG and EMBI stripped yield spread data (country level)." Morgan Markets. https://mm.jpmorgan.com/ (accessed December 2010).
59. Kennedy, Peter. 2003. A Guide to Econometrics. 5th ed. Cambridge, MA: MIT Press.
60. Kletzer, Kenneth M., and Brian D. Wright. 2000. "Sovereign Debt as Intertemporal Barter." American Economic Review 90 (3): 621-39.
61. Klingen, Christoph, Beatrice Weder, and Jeromin Zettelmeyer. 2004. "How Private Creditors Fared in Emerging Debt Markets, 1970-2000." International Monetary Fund (IMF) Working Paper 04/13.
62. Kovrijnykh, Natalia, and Balázs Szentes. 2007. "Equilibrium Default Cycles." Journal of Political Economy 115 (3): 403-46.
63. Lancaster, Tony. 1990. The Econometric Analysis of Transition Data. New York: Cambridge University Press.
64. Lin, D. Y., and L. J. Wei. 1989. "The Robust Inference for the Cox Proportional Hazards Model." Journal of the American Statistical Association 84 (408): 1074-78.
65. Lindert, Peter H., and Peter J. Morton. 1989. "How Sovereign Debt Has Worked." In Developing Country Debt and Economic Performance: The International Financial System, Vol. 1, edited by Jeffrey Sachs, 39-106. Chicago: University of Chicago Press.
66. Mitchener, Kris J., and Marc D. Weidenmier. 2005. "Supersanctions and Sovereign Debt Repayment." National Bureau of Economic Research (NBER) Working Paper 11472.
67. Moody's. 1991-2010. "Median Yields on US Intermediate-Term Corporates." (accessed February 2011).
68. Moody's. 2008. "Corporate Default and Recovery Rates, 1920-2007." http://www.moodys.com/sites/products/DefaultResearch/2007000000474979.pdf.
69. Moody's. 2011. "Special Comment: Sovereign Default and Recovery Rates, 1983-2010." May 10. http://efinance.org.cn/cn/FEben/Sovereign%20Default%20and%20recovery%20rates,1983-2010.pdf (accessed July 2011).
70. Özler, Sule. 1993. "Have Commercial Banks Ignored History?" American Economic Review 83 (3): 608-20.
71. Panizza, Ugo, Federico Sturzenegger, and Jeromin Zettelmeyer. 2009. "The Economics and Law of Sovereign Debt and Default." Journal of Economic Literature 47 (3): 651-98.
72. Political Risk Services Group. 2010. "International Country Risk Guide (ICRG) Monthly Data on Political Risk." http://www.prsgroup.com/ICRG.aspx (accessed December 2010).
73. Reinhart, Carmen, and Kenneth Rogoff. 2009. This Time is Different: Eight Centuries of Financial Folly. Princeton: Princeton University Press.
74. Richmond, Christine, and Daniel A. Dias. 2009. "Duration of Capital Market Exclusion: An Empirical Investigation." Unpublished.
75. Rieffel, Lex. 2003. Restructuring Sovereign Debt: The Case for Ad Hoc Machinery. Washington, DC: Brookings Institution Press.
76. Rose, Andrew K. 2005. "One Reason Countries Pay their Debts: Renegotiation and International Trade." Journal of Development Economics 77 (1): 189-206.
77. Sandleris, Guido. 2008. "Sovereign Defaults: Information, Investment and Credit." Journal of International Economics 76 (2): 267-75.
78. Sandleris, Guido. 2012. "The Costs of Sovereign Defaults: Theory and Empirical Evidence." Universidad Torcuato Di Tella Business School Working Paper 2012-02.
79. Standard and Poor's. 2006. "Default Study: Sovereign Defaults At 26-Year Low, To Show Little Change In 2007." RatingsDirect, September 18. http:///www.researchandmarkets.com/reports/1721138/default_study_sovereign_defauts_at_26year_low.pdf (accessed April 2013).
80. Standard and Poor's. 2007. "Introduction to Sovereign Recovery Ratings." RatingsDirect, June 14. http://www.standardandpoors.com/ratings/criteria/en/us?filtername=governments&filterLvl2=sovereigns (accessed April 2013).
81. Standard and Poor's. 2011. "Sovereign Defaults and Rating Transition Data: 2010 Update." RatingsDirect, February 23. http://www.standardandpoors.com/ratings/articles/en/us/?assetID=1245302231824 (accessed April 2013).
82. Sturzenegger, Federico, and Jeromin Zettelmeyer. 2006. Debt Defaults and Lessons from a Decade of Crises. Cambridge, MA: MIT Press.
83. Sturzenegger, Federico, and Jeromin Zettelmeyer. 2008. "Haircuts: Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005." Journal of International Money and Finance 27 (5): 780-805.
84. Tomz, Michael. 2007. Reputation and International Cooperation: Sovereign Debt across Three Centuries. Princeton: Princeton University Press.
85. Trebesch, Christoph. 2008. "Delays in Sovereign Debt Restructurings." Unpublished.
86. Trebesch, Christoph. 2009. "The Cost of Aggressive Sovereign Debt Policies: How Much is the Private Sector Affected?" International Monetary Fund (IMF) Working Paper 09/29.
87. US Department of the Treasury. 1978-2010. "Daily Treasury Yield Curve Rates (10 year bonds)." http://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield (accessed January 2011).
88. World Bank. 2007. Debt Reduction Facility for IDA-Only Countries: Progress Update and Proposed Extension. World Bank Board Report 39310. Washington, DC, April.
89. World Bank. 2011. "World Development Indicators Database 2011." http://data.worldbank.org/datacatalog/world-development-indicators (accessed September 2011).
90. World Bank. 2012. "World Development Indicators Database 2012." http://data.worldbank.org/datacatalog/world-development-indicators (accessed May 2012).
91. Wright, Mark L. J. 2002. "Reputations and Sovereign Debt." http://emlab.berkeley.edu/users/obstfeld/e281_sp03/wright.pdf.
92. Yue, Vivian Z. 2010. "Sovereign Default and Debt Renegotiation." Journal of International Economics 80 (2): 176-87.