CITATION — REFERENCE ENTRY
Sovereign defaults: The price of haircuts — CESifo
- Key
- cruces-trebesch-2011-price-of-haircuts
- Authors
- Cruces, Juan J.; Trebesch, Christoph
- Issued
- 2011-10
- Type
- report
- Publisher
- CESifo
Raw CSL JSON
{
"URL": "https://hdl.handle.net/10419/52478",
"type": "report",
"title": "Sovereign defaults: The price of haircuts",
"author": [
{
"given": "Juan J.",
"family": "Cruces"
},
{
"given": "Christoph",
"family": "Trebesch"
}
],
"issued": {
"date-parts": [
[
2011,
10
]
]
},
"number": "3604",
"accessed": {
"date-parts": [
[
2026,
10,
6
]
]
},
"publisher": "CESifo",
"collection-title": "CESifo Working Paper"
}
Claims
-
Cruces and Trebesch built a database of investor losses (haircuts) in all restructurings with foreign banks and bondholders from 1970 to 2010, covering 180 cases in 68 countries.
"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."
-
Restructurings with larger haircuts are associated with significantly higher subsequent bond yield spreads and longer periods of exclusion from capital markets, casting doubt on the belief that credit markets forgive and forget.
"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.”"
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