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Hope Springs Eternal – French Bondholders and the Soviet Repudiation (1915–1919)

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Author Info
Kim Oosterlinck
John Landon-lane

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Abstract

Repudiations rarely occur due to their extreme nature. This paper provides an empirical study based on an original database: prices of a Tsarist bond traded in Paris before and after its repudiation by the Soviets. A structural VAR is used to disentangle French market shocks from repudiation specific ones. After the repudiation, we identify shocks that are related with bailouts, hopes of partial bailouts, negotiations with the Soviets and the Russian civil war. We argue that bond prices essentially reflected expected extreme events that never took place and were thus subject to a “Peso problem”. Copyright Springer Science+Business Media, LLC 2006

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File URL: http://hdl.handle.net/10.1007/s10679-006-9005-8
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Publisher Info
Article provided by Springer in its journal Review of Finance.

Volume (Year): 10 (2006)
Issue (Month): 4 (December)
Pages: 507-535
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Handle: RePEc:kap:eurfin:v:10:y:2006:i:4:p:507-535

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Web page: http://springerlink.metapress.com/link.asp?id=111870

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