The French government currently honors a very unusual debt contract: an annuity that was issued in 1738 and currently yields 1.20 Euro per year. I tell the story of this unique debt, which serves as an anecdotal but symbolic summary of French public finances since the 18th century. -- life...

The French government currently honors a very unusual debt contract: an annuity that was issued in 1738 and currently yields €1.20 per year. I tell the story of this unique debt, which serves as an anecdotal but symbolic summary of French public finances since the 18th century

We consider an arbitrage strategy which exactly replicates the cash flow of a sovereign nominal bond using inflation swaps and inflation-linked bonds. The strategy reveals a violation of the law of one price in the G7 countries which is largest for the eurozone. Testing the strategy's exposure...

If Greece's debt is unsustainable, and most observers (including the IMF) seem to think it is, the country's only source of funding will continue to be official sector bailout loans. Languishing for a decade or more as a ward of the official sector is undesirable from all perspectives. The...

As the market for the trading of the British state's debt developed during the eighteenth century, the Bank of England found itself in a difficult position. It was the self-styled guardian of public credit, an institution which stood aloof as mediator between the state and its creditors, and, at...

This paper examines UK sovereign debt sustainability following the Second World War. Even though the UK in 1946 recorded the highest public debt-to-GDP ratio of the 20th century, the sovereign credit literature does not show a UK sovereign default following the Second World War. New archival...

We study the daily yields on Irish land bonds listed on the Dublin Stock Exchange during the years 1920–1938. We exploit Irish events during the period and structural differences in land bonds to tease out a measure of investors׳ credibility in a UK sovereign guarantee. Using Ireland׳s...

This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 countries. Our main insight is that, as in equity...

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign...