Sovereign Default, Debt Restructuring, and Recovery Rates: Was the Argentinean “Haircut” Excessive?

被引：0

作者：

Sebastian Edwards

机构：

[1] University of California,

[2] Los Angeles,undefined

[3] National Bureau of Economic Research,undefined

来源：

Open Economies Review | 2015年 / 26卷

关键词：

Debt; Sovereign; Default; Restructuring; Repudiation; Investors’ losses; Haircut; Argentina; Excusable default; Recovery rate; Greece; Chile; F340; F410; F650; G150;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

I use data on 180 sovereign defaults to analyze what determines the recovery rate after a debt restructuring process. Why do creditors recover, in some cases, more than 90 %, while in other cases they recover less than 10 %? I find support for the Grossman and Van Huyk model of “excusable defaults”: countries that experience more severe negative shocks tend to have higher “haircuts” than countries that face less severe shocks. I discuss in detail debt restructuring episodes in Argentina, Chile, Uruguay and Greece. The results suggest that the haircut imposed by Argentina in its 2005 restructuring (75 %) was “excessively high.” The other episodes’ haircuts are consistent with the model.

引用

页码：839 / 867

页数：28