AbstractThis paper estimates bond-by-bond "haircuts"-realized investor losses-in recent debt restructurings in Russia, Ukraine, Pakistan, Ecuador, Argentina, and Uruguay. We consider both external and domestic retructurings. Haircuts are computed as the percentage difference between the present values of old and new instruments, discounted at the yield prevailing immediately after the exchange. We find average haircuts ranging from 13 percent (Uruguay external exchange) to 73 percent (2005 Argentina exchange). We also find within-exchange variations in haircuts, depending on the instrument tendered. With exceptions, domestic residents do not appear to have been treated systematically better (or worse) than foreign residents.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 05/137.
Date of creation: 01 Jul 2005
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Other versions of this item:
- Jeromin Zettelmeyer & Federico Sturzenegger, 2005. "Haircuts," 2005 Meeting Papers, Society for Economic Dynamics 18, Society for Economic Dynamics.
- NEP-ALL-2005-10-22 (All new papers)
- NEP-FMK-2005-10-22 (Financial Markets)
- NEP-TRA-2005-10-22 (Transition Economics)
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- Peter H. Lindert & Peter J. Morton, 1989.
"How Sovereign Debt Has Worked,"
NBER Chapters, National Bureau of Economic Research, Inc,
in: Developing Country Debt and Economic Performance, Volume 1: The International Financial System, pages 39-106
National Bureau of Economic Research, Inc.
- Peter H. Lindert & Peter J. Morton, 1989. "How Sovereign Debt Has Worked," NBER Chapters, National Bureau of Economic Research, Inc, in: Developing Country Debt and the World Economy, pages 225-236 National Bureau of Economic Research, Inc.
- Luis Ignacio JÃ¡come, 2004. "The Late 1990's Financial Crisis in Ecuador," IMF Working Papers 04/12, International Monetary Fund.
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