Work

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

Year: 2006

Type: article

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”.

Source: European Finance Review

DOI: 10.1007/s10679-006-9005-8

Authors: Kim Oosterlinck, John S. Landon-Lane

Institutions: Université Libre de Bruxelles, Rutgers, The State University of New Jersey

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2014682175

FWCI: 7.94

Cites: 51

Cited by: 68

Related to: 10