ABSTRACT

This paper 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%.

中文翻译：

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自滑铁卢以来的主权债券

摘要

本文将外部主权债券作为一种资产类别进行研究。我们编制了一个新数据库，其中包含 1815 年（滑铁卢战役）至 2016 年间在伦敦和纽约交易的 266,000 份外币政府债券月度价格，涵盖多达 91 个国家。我们的主要观点是，与股票市场一样，外部主权债券的回报已经足够高，可以弥补风险。在包括违约事件、重大战争和全球危机在内的两个世纪中，实际事后回报率平均每年超过 6%。这意味着比美国或英国政府债券高出 3-4% 的超额回报，与股票相当，并且优于公司债券。这一发现的核心是外部主权债券提供的高平均票息。根据历史违约率和回收率衡量，观察到的回报很难与典型理论模型和该市场的信用风险程度相一致。根据我们自 1815 年以来 300 多次主权债务重组的档案，我们表明完全拒绝的情况很少见；债权人损失中位数（扣减）低于 50%。