Replication data for: Sovereign Defaults: The Price of Haircuts
Principal Investigator(s): View help for Principal Investigator(s) Juan J. Cruces; Christoph Trebesch
Version: View help for Version V1
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:
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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:
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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
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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