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Entre la peste et le choléra : le détenteur d’obligations peut préférer la répudiation au défaut…

  • Loredana Ureche-Rangau
  • Kim Oosterlinck

[eng] Sovereign debt : bondholders may prefer repudiation to default . Sovereign debts are often subject to payment suspension. Default, i.e. the financial incapacity to fulfil the debt service, and repudiation, i.e. the denial by a sovereign to recognize its legal obligations, are normally used to explain these payment suspensions. For bondholders, defaults should incur the smallest financial losses. In this case, bondholders may indeed hope for either a negotiated solution, or for a resumption of the debt service if the defaulting state manages to overcome its financial troubles. In the case of repudiations, these two elements are not relevant as repudiations usually go with a complete stop of the negotiation process. This paper shows, by using two series of bonds (Romanian and Russian bonds), that there are some situations when the market prices of repudiated bonds may stay above those of defaulted bonds. This counterintuitive observation is explained by market anticipation of possible events having a strong influence on the repudiated bond prices. . JEL classification : F34, G15, G33, N20, N24 [fre] Les dettes des États souverains souffrent régulièrement de suspensions de paiement. Le défaut, soit l’incapacité matérielle de faire face à ses obligations, ou la répudiation, soit le refus par l’État émetteur de reconnaître son engagement légal, sont, d’ordinaire, invoqués pour les justifier. Le défaut semble moins préjudiciable pour les détenteurs de ces titres. Dans ce cas, l’investisseur peut espérer, soit une solution négociée, soit une reprise du service de la dette si l’État défaillant parvient à redresser ses finances. Dans le cas de la répudiation, ces deux éléments sont sans objet. La présente analyse montre, sur la base de l’étude de deux séries d’emprunts (roumains et russes), que les cours boursiers d’emprunts répudiés peuvent être supérieurs à ceux faisant l’objet d’un défaut. L’anticipation d’événements probables ayant une grande influence potentielle sur les cours permet d’expliquer ce phénomène. . Classification JEL : F34, G15, G33, N20, N24

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Article provided by Programme National Persée in its journal Revue d'économie financière.

Volume (Year): 79 (2005)
Issue (Month): 2 ()
Pages: 309-331

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Handle: RePEc:prs:recofi:ecofi_0987-3368_2005_num_79_2_3992
Note: DOI:10.3406/ecofi.2005.3992
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  1. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
  2. Jeremy I. Bulow & Kenneth Rogoff, 1988. "Sovereign Debt: Is To Forgive To Forget?," NBER Working Papers 2623, National Bureau of Economic Research, Inc.
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  7. Jeffrey Sachs & Daniel Cohen, 1982. "LDC Borrowing with Default Risk," NBER Working Papers 0925, National Bureau of Economic Research, Inc.
  8. Tuvana Pastine & Robert E. Cumby, 2000. "Emerging Market Debt : Measuring Credit Quality and Examining Relative Pricing," Working Papers 0010, Department of Economics, Bilkent University.
  9. Claessens, Stijn & Pennacchi, George, 1996. "Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 109-126, March.
  10. Veronesi, Pietro, 2004. "The Peso problem hypothesis and stock market returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 707-725, January.
  11. Andrei Shleifer, 2003. "Will The Sovereign Debt Market Survive?," Harvard Institute of Economic Research Working Papers 2000, Harvard - Institute of Economic Research.
  12. Cohen, Daniel, 1991. "A valuation formula for LDC debt," Policy Research Working Paper Series 763, The World Bank.
  13. Fernandez, Raquel & Rosenthal, Robert W, 1990. "Strategic Models of Sovereign-Debt Renegotiations," Review of Economic Studies, Wiley Blackwell, vol. 57(3), pages 331-49, July.
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