选择性默认期望

Olivier Accominotti, Thilo N. H. Albers, K. Oosterlinck
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引用次数: 1

摘要

在债务违约期间,主权政府往往会区别对待债权人。本文以20世纪30年代德国外部违约这一历史实验为基础,探讨选择性违约预期如何影响主权债券交易和主权风险溢价。我们利用了两次世界大战之间主权债券市场的一个独特特征:相同的德国政府债券在不同债权国的二级债券市场上进行交易,但投资者预计,在违约的情况下,来自不同国家的债权人将受到不同的对待。我们表明,当债权国二级债务市场一体化时,选择性违约预期不会反映在债券收益率中,而是影响整个市场的债券交易量。相比之下,当债权人的债务市场在地理上被分割时,主权债券的选择性风险溢价就会很高。这一溢价占上世纪30年代德国对外债券总风险溢价的一半。我们建立了债权国的优先级可以用它们对债务国政府的经济实力来解释。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Selective Default Expectations
Sovereign governments often discriminate between creditors during debt default episodes. This paper explores how expectations of selective default affect sovereign bond trading and sovereign risk premia based on a historical laboratory: the German external default of the 1930s. We exploit a unique feature of the interwar sovereign bond market: identical German government bonds were traded on different creditor countries’ secondary debt markets but investors expected creditors from various countries to be treated differently in case of default. We show that, when creditor countries’ secondary debt markets are integrated, selective default expectations are not reflected in bond yields but affect the volume of bonds traded across markets. By contrast, when creditors’ debt markets are geographically segmented, a large selective risk premium can be priced in sovereign bonds. This premium accounted for up to half of the total risk premium on German external bonds during the 1930s. We establish that creditor countries’ seniority ranks can be explained by their economic power over the debtor government.
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