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.

中文翻译：

---

选择性默认预期

本文探讨了选择性违约预期如何影响历史实验室中的主权债券定价：20 世纪 30 年代的德国违约。我们分析了债券市场分割前后在不同债权国交易的相同政府债券之间的收益率差异。我们表明，当二级债务市场被分割时，很大的选择性违约概率可以在债券收益率利差中定价。20世纪30年代，选择性违约风险占德国外部债券相对无风险利率利差的三分之一。选择性违约预期源于债权国相对于债务国的经济实力差异。