Quarterly Journal of Economics · 2022 · Josefin Meyer、Carmen Reinhart、Christoph Trebesch
中文摘要
本文研究作为一类资产的外部主权债券。我们编制了一个新数据库，涵盖1815年（滑铁卢战役）至2016年间在伦敦和纽约交易的外币政府债券的266,000个月度价格，覆盖多达91个国家。我们的主要洞见是，与股票市场一样，外部主权债券的回报足够高，足以补偿风险。在两个世纪中，包括违约事件、重大战争和全球危机在内，实际事后回报年均超过6%。这相当于较美国或英国政府债券高出3%–4%的超额回报，与股票相当，并优于公司债券。这一发现的核心在于外部主权债券所提供的高平均票息。所观察到的回报难以与经典理论模型以及该市场的信用风险程度（以历史违约率和回收率衡量）相吻合。基于我们自1815年以来300多次主权债务重组的档案，我们表明完全拒偿债务的情况很少见；债权人损失（减记）的中位数低于50%。
Abstract
This article studies external sovereign bonds as an asset class. We compile a new database of 266,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering up to 91 countries. Our main insight is that, as in equity markets, the returns on external sovereign bonds have been sufficiently high to compensate for risk. Real ex post returns average more than 6% annually across two centuries, including default episodes, major wars, and global crises. This represents an excess return of 3%–4% above US or UK government bonds, which is comparable to stocks and outperforms corporate bonds. Central to this finding are the high average coupons offered on external sovereign bonds. The observed returns are hard to reconcile with canonical theoretical models and the degree of credit risk in this market, as measured by historical default and recovery rates. Based on our archive of more than 300 sovereign debt restructurings since 1815, we show that full repudiation is rare; the median creditor loss (haircut) is below 50%.