Sovereign Defaults: The Price of Haircuts
构建了1970-2010年68个国家180次主权债务重组的投资者损失数据库，发现减记幅度越大，后续债券收益率利差越高、市场准入恢复越慢，挑战了“市场会原谅和遗忘”的普遍看法。
A main puzzle in the sovereign debt literature is that defaults have only minor effects on subsequent borrowing costs and access to credit. This paper comes to a different conclusion. We construct the first complete database of investor losses (“haircuts”) in all restructurings with foreign banks and bondholders from 1970 until 2010, covering 180 cases in 68 countries. We then show that restructurings involving higher haircuts are associated with significantly higher subsequent bond yield spreads and longer periods of capital market exclusion. The results cast doubt on the widespread belief that credit markets “forgive and forget.”