I am analysing the effects of some Central Bank's policies on asset prices. Among others, daily 5y and 10y Greek government bond yields are part of my dataset. Data are fromm Datastream.

bond yields

I know that Greece was hit by the sovereign debt crisis from 2011, and that this led to haircuts on debt owed to private investors in 2011, but what is the exact reason for the stale prices that occured for both assets from the end of 2011 untile the first months of 2012? Do you think that I can use these time series as they are? How would you address the issue? Thank you.


1 Answer 1


A yield of a defaulted bond is just nonsense.

A yield is the internal rate of return of some cash flows promised in the future.

A defaulted bond trades on price and does not promise any cash flows. Quoting some nonsensical yield based on the cash flows that were promised before the default is very misleading. It is extremely unusual to be paid eventually exactly the same cash flows. It may be useful analysis to consider possible restructing scenarios (such as extending maturity or reducing notional) and calculating the yields under these scenarios, but what Datastream does is appalling.

Also quoting the same stale price for months is bad practice.


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