IDEAS home Printed from https://ideas.repec.org/p/cpr/ceprdp/16474.html

Selective Default Expectations

Author

Listed:
  • Accominotti, Olivier
  • Albers, Thilo Nils Hendrik
  • Oosterlinck, Kim

Abstract

This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market segmentation. We show that, when secondary debt markets are segmented, a large selective default probability can be priced in bond yield spreads. Selective default risk accounted for one third of the yield spread of German external bonds over the risk-free rate during the 1930s. Selective default expectations arose from differences in the creditor countries' economic power over the debtor.

Suggested Citation

  • Accominotti, Olivier & Albers, Thilo Nils Hendrik & Oosterlinck, Kim, 2021. "Selective Default Expectations," CEPR Discussion Papers 16474, Centre for Economic Policy Research.
    • Handle: RePEc:cpr:ceprdp:16474
    as

    Download full text from publisher

    File URL: https://cepr.org/publications/DP16474
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. is not listed on IDEAS
    2. Amura, Claudia R. & Techau, Aimee & Ritchie, Natalie D. & Sorrell, Tanya R. & Weber, Mary & Kwan, Bethany M. & Morrato, Elaine H. & Cook, Paul F., 2026. "Planning for implementation scale-up of a medication for opioid use disorder program across rural Colorado: Ensuring fit to context," Evaluation and Program Planning, Elsevier, vol. 115(C).
    3. Brander, Michael & Abro, Zewdu & Kassie, Menale & Mittmann, Wolfgang & Stiefel, Lukas & Huss, Matthias, 2025. "Small policy changes can accelerate the adoption of improved on-farm storage among smallholder farmers," World Development, Elsevier, vol. 195(C).
    4. Bloomfield, Adam & Goodman, Lucas & Rao, Manita & Slavov, Sita, 2025. "State Auto-IRA policies and firm behavior: Lessons from administrative tax data," Journal of Public Economics, Elsevier, vol. 247(C).
    5. Quinn Keefer, 2026. "The spending consequences of COVID-19 stimulus payments: the case of baseball cards," Empirical Economics, Springer, vol. 70(3), pages 1-43, March.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-
    • N44 - Economic History - - Government, War, Law, International Relations, and Regulation - - - Europe: 1913-

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cpr:ceprdp:16474. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CEPR (email available below). General contact details of provider: https://cepr.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.