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| Author: | Oosterlinck, K. Landon-Lane, J.S. |
| Title: | Hope springs eternal - French bondholders and the Soviet repudiation (1915-1919) |
| Journal: | Review of finance
2006 : VOL. 10:4, p. 507-535 |
| Index terms: | finance bond markets history loans debt France Russia |
| Language: | eng |
| Abstract: | This paper provides an empirical study based on an original database: prices of a Tsarist bond traded in Paris before and after its Soviet repudiation (hereafter as: rep-n). A structural VAR is used to disentangle French market shocks from rep-n. specific ones. After the rep-n., identified are shocks related with bailouts,..., negotiations with the Soviets and the Russian civil war. It is argued that bond prices essentially reflected expected extreme events that never took place, thus being subject to a "Peso problem". |
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