Replication data for: Sovereign Defaults: The Price of Haircuts

Principal Investigator(s): View help for Principal Investigator(s) Juan J. Cruces; Christoph Trebesch

Name	File Type	Size	Last Modified
Data-folder---Cruces-Trebesch---2012---0058			10/12/2019 09:48:PM
LICENSE.txt	text/plain	14.6 KB	10/12/2019 05:48:PM

Project Citation:

Cruces, Juan J., and Trebesch, Christoph. Replication data for: Sovereign Defaults: The Price of Haircuts. Nashville, TN: American Economic Association [publisher], 2013. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114278V1

Project Description

Summary: A main puzzle in the sovereign debt literature is that defaults have only minor effects on subsequent borrowing costs and access to credit. This paper comes to a different conclusion. We construct the first complete database of investor losses ("haircuts") in all restructurings with foreign banks and bondholders from 1970 until 2010, covering 180 cases in 68 countries. We then show that restructurings involving higher haircuts are associated with significantly higher subsequent bond yield spreads and longer periods of capital market exclusion. The results cast doubt on the widespread belief that credit markets "forgive and forget."

Scope of Project

JEL Classification:
      E43 Interest Rates: Determination, Term Structure, and Effects
      F34 International Lending and Debt Problems
      G15 International Financial Markets
      H63 National Debt; Debt Management; Sovereign Debt

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V1 [2019-10-12]

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