Sovereign Bond Prices, Haircuts and Maturity

Abstract

Cover -- Contents -- I. Introduction -- II. Haircuts -- A. Haircut Measures -- B. Data -- III. New Stylized Facts -- A. Haircuts -- B. Bond Prices -- IV. The Model -- A. Setup -- B. First Result -- C. Second Result -- D. Interpretation -- V. Default Probability Term Structure -- VI. Conclusion -- References -- Figures -- 1. SZ Recovery and Maturity -- 2. Exchange Recovery and Maturity -- 3. Bond Price Differentials -- 4. Default Probability Term Structure -- Tables -- 1. Scope of Dataset -- 2. Cross-sectional Regression Results -- 3. Panel Regression Results -- 4. Panel Regression Results -- Appendices -- I. Dataset: Selected Recent Restructurings -- II. Haircuts / Recovery Rates -- III. SZ Haircuts Robustness Check -- IV. Bond Prices -- V. Estimation of Term Structure of Default Risk -- VI. Default Probability Term Structure.