Sovereign Default, Debt Restructuring, and Recovery Rates: Was the Argentinean “Haircut” Excessive?
Sovereign Default, Debt Restructuring, and Recovery Rates: Was the Argentinean “Haircut” Excessive?
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主权违约、债务重组和回收率：阿根廷“削减”是否过度？
DOI：
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发表时间：
2015
期刊：
影响因子：
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通讯作者：
S. Edwards
中科院分区：
文献类型：
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作者：
S. Edwards
我使用180个主权违约的数据来分析是什么决定了债务重组过程后的回收率。为什么债权人在某些情况下收回90%以上，而在其他情况下收回不到10%？我找到了对格罗斯曼和货车胡克“可原谅违约”模型的支持：经历更严重负面冲击的国家往往比面临较不严重冲击的国家有更高的“理发”。我详细讨论了阿根廷、智利、乌拉圭和希腊的债务重组事件。结果表明，阿根廷在2005年的重组中所施加的减记（75%）“过高”其他剧集的发型与模型一致。
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.