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Sovereign Debt Restructuring and Growth

Sovereign Debt Restructuring and Growth »

Source: Sovereign Debt Restructuring and Growth

Volume/Issue: 2016/147

Series: IMF Working Papers

Author(s): Lorenzo Forni , Geremia Palomba , Joana Pereira , and Christine Richmond

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 July 2016

ISBN: 9781498382236

Keywords: sovereign default, debt restructuring, growth, haircut, crisis resolution

This paper studies the effect of sovereign debt restructurings with external private creditors on growth during the period 1970-2010. We find that there are bad and good (or not so bad) debt restructurings for grow...

Sovereign Bond Prices, Haircuts and Maturity

Sovereign Bond Prices, Haircuts and Maturity »

Source: Sovereign Bond Prices, Haircuts and Maturity

Volume/Issue: 2017/119

Series: IMF Working Papers

Author(s): Tamon Asonuma , Dirk Niepelt , and Romain Ranciere

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2017

ISBN: 9781484301098

Keywords: Sovereign Debt; Default; Debt Restructuring; Bond Prices; Haircuts; Maturity; Default Probability, Sovereign Debt, Default, Debt Restructuring, Bond Prices, Haircuts, Maturity, Default Probability, International Lending and Debt Problems, Open Economy Macroeconomics

Rejecting a common assumption in the sovereign debt literature, we document that creditor losses ('haircuts') during sovereign restructuring episodes are asymmetric across debt instruments. We code a comprehensive...

Serial Sovereign Defaults and Debt Restructurings

Serial Sovereign Defaults and Debt Restructurings »

Source: Serial Sovereign Defaults and Debt Restructurings

Volume/Issue: 2016/66

Series: IMF Working Papers

Author(s): Tamon Asonuma

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 March 2016

ISBN: 9781513596648

Keywords: Serial Default, Sovereign Default, Past Credit History, Haircuts, Recovery rates, Risk Premia, debt, default, defaults, return

Emerging countries that have defaulted on their debt repayment obligations in the past are more likely to default again in the future than are non-defaulters even with the same external debt-to-GDP ratio. These cou...

Default Premium

Default Premium »

Source: Default Premium

Volume/Issue: 2015/167

Series: IMF Working Papers

Author(s): Luis Catão , and Rui Mano

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 July 2015

ISBN: 9781513523507

Keywords: Country Risk, Interest Rate Spread, Haircut, market, debt, default, interest, interest rate, International Lending and Debt Problems, General

We re-assess the view that sovereigns with a history of default are charged only a small and/or short-lived premium on the interest rate warranted by observed fundamentals. Our reassessment uses a metric of such a...

Macroprudential Regulation Under Repo Funding

Macroprudential Regulation Under Repo Funding »

Source: Macroprudential Regulation Under Repo Funding

Volume/Issue: 2010/220

Series: IMF Working Papers

Author(s): Laura Valderrama

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

ISBN: 9781455208852

Keywords: Repurchase Agreement, Haircut, Margin Call, Liquidity Hoarding, Macroprudential Regulation, repo, collateral, credit, financial system, Financial Institutions and Services: Government Policy and Regulation

The use of collateral has become one of the most widespread risk mitigation techniques. While it brings stabilizing effects to the individual lender we argue that it may exacerbate systemic risk through margin call...

Limiting Taxpayer �Puts��An Example from Central Counterparties1

Limiting Taxpayer �Puts��An Example from Central Counterparties1 »

Source: Limiting Taxpayer ?Puts??An Example from Central Counterparties

Volume/Issue: 2014/203

Series: IMF Working Papers

Author(s): Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 November 2014

ISBN: 9781498322423

Keywords: Lender-of-last-resort, central counterparties, variation margin gains haircut, financial stability, lender, derivative, derivatives, International Monetary Arrangements and Institutions, Government Policy and Regulation, Government Policy and Regulation

Nonbanks such as central counterparties (CCPs) are a useful lens to see how regulators view the role of the lender-of-last-resort (LOLR). This paper explores the avenues available when a nonbank failure is likely,...

Costs of Sovereign Defaults: Restructuring Strategies, Bank Distress and the Capital Inflow-Credit Channel

Costs of Sovereign Defaults: Restructuring Strategies, Bank Distress and the Capital Inflow-Credit Channel »

Source: Costs of Sovereign Defaults: Restructuring Strategies, Bank Distress and the Capital Inflow-Credit Channel

Volume/Issue: 2019/69

Series: IMF Working Papers

Author(s): Tamon Asonuma , Marcos Chamon , Aitor Erce , and Akira Sasahara

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 25 March 2019

ISBN: 9781498303255

Keywords: Sovereign debt restructuring, Business cycles, Capital inflows, Domestic debt, Current account deficits, Sovereign Debt, Sovereign Defaults, Sovereign Debt Restructurings, GDP Growth, Investment

Sovereign debt restructurings are associated with declines in GDP, investment, bank credit, and capital flows. The transmission channels and associated output and banking sector costs depend on whether the restruct...

Sovereign Debt Restructuring and Growth

Sovereign Debt Restructuring and Growth »

Volume/Issue: 2016/147

Series: IMF Working Papers

Author(s): Lorenzo Forni , Geremia Palomba , Joana Pereira , and Christine Richmond

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 July 2016

DOI: http://dx.doi.org/10.5089/9781498382236.001

ISBN: 9781498382236

Keywords: sovereign default, debt restructuring, growth, haircut, crisis resolution

This paper studies the effect of sovereign debt restructurings with external private creditors on growth during the period 1970-2010. We find that there are bad and good (or not so bad) debt restructurings for grow...

Sovereign Bond Prices, Haircuts and Maturity

Sovereign Bond Prices, Haircuts and Maturity »

Volume/Issue: 2017/119

Series: IMF Working Papers

Author(s): Tamon Asonuma , Dirk Niepelt , and Romain Ranciere

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2017

DOI: http://dx.doi.org/10.5089/9781484301098.001

ISBN: 9781484301098

Keywords: Sovereign Debt; Default; Debt Restructuring; Bond Prices; Haircuts; Maturity; Default Probability, Sovereign Debt, Default, Debt Restructuring, Bond Prices, Haircuts, Maturity, Default Probability, International Lending and Debt Problems, Open Economy Macroeconomics

Rejecting a common assumption in the sovereign debt literature, we document that creditor losses ('haircuts') during sovereign restructuring episodes are asymmetric across debt instruments. We code a comprehensive...

Serial Sovereign Defaults and Debt Restructurings

Serial Sovereign Defaults and Debt Restructurings »

Volume/Issue: 2016/66

Series: IMF Working Papers

Author(s): Tamon Asonuma

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 March 2016

DOI: http://dx.doi.org/10.5089/9781513596648.001

ISBN: 9781513596648

Keywords: Serial Default, Sovereign Default, Past Credit History, Haircuts, Recovery rates, Risk Premia, debt, default, defaults, return

Emerging countries that have defaulted on their debt repayment obligations in the past are more likely to default again in the future than are non-defaulters even with the same external debt-to-GDP ratio. These cou...