SOVEREIGN DEBT RESTRUCTURINGS: PREEMPTIVE OR POST-DEFAULT
SOVEREIGN DEBT RESTRUCTURINGS: PREEMPTIVE OR POST-DEFAULT
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DOI：
10.1111/jeea.12156
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发表时间：
2016-02-01
影响因子：
3.6
通讯作者：
Trebesch, Christoph
中科院分区：
文献类型：
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作者：
Asonuma, Tamon;Trebesch, Christoph
主权债务重组可以在债务违约之前先行实施。我们对一个全面的新数据集进行了编码，发现先发制人的重组（i）很频繁（占1978-2010年所有交易的38%），（ii）理发率较低，（iii）谈判速度更快，（iv）产出损失更低。为了使这些程式化的事实合理化，我们建立了一个量化的主权债务模型，其中包括先发制人和违约后的重新谈判。该模型改善了与数据的拟合，并解释了主权的最优选择：先发制人的重组发生在违约风险高的事前，而违约发生在意外的坏冲击。经验证据支持这些预测。
Sovereign debt restructurings can be implemented preemptivelyprior to a payment default. We code a comprehensive new data set and find that preemptive restructurings (i) are frequent (38% of all deals 1978-2010), (ii) have lower haircuts, (iii) are quicker to negotiate, and (iv) see lower output losses. To rationalize these stylized facts, we build a quantitative sovereign debt model that incorporates preemptive and post-default renegotiations. The model improves the fit with the data and explains the sovereign's optimal choice: preemptive restructurings occur when default risk is high ex ante, while defaults occur after unexpected bad shocks. Empirical evidence supports these predictions.