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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.

Cover Page -- Title Page -- Copyright Page -- Contents -- Tables -- Figures -- Appendixes -- I. Introduction -- 1. Banks' Domestic Sovereign Holdings/Total Bank Assets and Public Debt -- II. Literature Review -- III. Empirical Analysis on Home Bias -- 1. Summary of Home Bias Indicators (average, 2005-07 and 2009-11) -- 2. Average Public Debt (2007) and Home Bias (average, 2005-07) -- A. Borrowing Costs of Sovereigns -- 3. Bond Spreads and Home Bias in AMs -- 4. EM Sovereigns Borrowing Costs in the Domestic Market -- 5. Estimated GARCH Correlations with VIX -- 2. Average EM and AM Estimated GARCH Correlations with VIX -- B. Public Debt -- 6. Public Debt-to-GDP and Home Bias (Average, 2005-07) -- C. Primary Balance Adjustments -- 7. Fiscal Policy Reactions and Home Bias -- 3. Estimated Fiscal Policy Reactions -- D. Debt under Distress -- 8. Debt Distress and Home Bias -- E. Robustness Tests -- IV. Other Home Bias Issues -- V. Conclusion -- I. Computations of Home Bias Indicators -- II. Details and Sources of Macroeconomic Variables -- III. Outline of the DCC GARCH Method -- A1. Regression of Bond Spreads-(1) AM -- A2. Regression of Bond Yields-(2) EM -- A3. Regression of the Public Debt/GDP-AM, EM, AM&EM -- A4. Regression of the Fiscal Reaction Function-AM, EM, AM&EM -- A5. Robustness Check for Bond Spreads Regression-AM, EM -- A6. Robustness Check for Public Debt Regression -- A7. Robustness Check for Fiscal Reaction Function Regression-AM -- References -- Footnotes