Sovereign Debt Restructurings: Preemptive or Post-Default

Asonuma, Tamon und Trebesch, Christoph (2016): Sovereign Debt Restructurings: Preemptive or Post-Default. In: Journal of the European Economic Association, Bd. 14, Nr. 1: S. 175-214

Abstract

Sovereign debt restructurings can be implemented preemptivelyprior to a payment default. We code a comprehensive new data set and find that preemptive restructurings (i) are frequent (38% of all deals 1978-2010), (ii) have lower haircuts, (iii) are quicker to negotiate, and (iv) see lower output losses. To rationalize these stylized facts, we build a quantitative sovereign debt model that incorporates preemptive and post-default renegotiations. The model improves the fit with the data and explains the sovereign's optimal choice: preemptive restructurings occur when default risk is high ex ante, while defaults occur after unexpected bad shocks. Empirical evidence supports these predictions.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Volkswirtschaft
• Themengebiete: 300 Sozialwissenschaften > 330 Wirtschaft
• ISSN: 1542-4766
• Sprache: Englisch