debt literature, but unlike previous authors, we do not rely on the off-the-shelf country-level EMBI series but exploit the rich microdata on individual bonds that underlie the aggregate index. We focus on bonds that appear in the broadest of their indices, the EMBI Global, which are USD instruments from low- and middle-income countries with a minimum issue size of US$500 million and “easily accessible and verifiable daily prices either from an inter-dealer broker or a certified JP Morgan source” (see JP Morgan [1999] for details).

A main advantage of using the bond-by-bond EMBI data compared to the standard country-level indices is that we get a cleaner, more homogenous sample that is consistent with our historical time series, facilitating long-run comparisons. Scrutinizing and winnowing the sample is important for our purposes because the EMBI includes many _non_ -sovereign, _non-_ USD (or UK pound) instruments, such as bonds issued by large public banks, as well as local-currency bonds.

Specifically, we drop all EMBI bonds issued by public companies and other sub-sovereign bonds guaranteed by the government. Furthermore, we exclude local-currency bonds, as well as a few dozen bonds in international currencies other than the USD or GBP, such as the French or Swiss franc. The resulting dataset includes more than 600 external sovereign bonds from the EMBI. Some bonds have prices as early as 1990, but the sample becomes representative only from 1995 onward when more than 40 Brady bonds were actively traded. We therefore show results for the modern period starting in 1995.

Our merged (historical plus modern) bond pricing sample thus covers 1,552 foreign-currency sovereign bonds issued by 91 countries.<sup>32</sup> The coverage and granularity of this global dataset close to that compiled for individual advanced countries.<sup>33</sup> For the United States, the Chicago-based CRSP Database provides monthly instrument-level data on US Treasuries back to 1925. For England, Ellison and Scott (2020) gathered granular data on prices and issuance patterns of UK government debt 1694-2017.

When combining the bond price dataset with our archive on missed payments and debt restructurings, as described in Section 2, we match at the bond level. However, we do not have prices for all of the 1,134 bonds for which we computed haircuts, because some of the restructured bonds were not regularly traded

> 32 Of these, 70 defaulted on their external debt at some point between 1814 and 2016, namely, Algeria, Angola, Argentina, Austria/Austria-Hungary, Belize, Bolivia, Brazil, Bulgaria, Cameroon, Chile, China, Colombia, Costa Rica, Côte d'Ivoire, Croatia, Cuba, Czech Republic/Czechoslovakia, Dominican Republic, Ecuador, t Egypt, El Salvador, Estonia, Ethiopia, Finland, Gabon, Germany, Ghana, Greece, Guatemala, Haiti, Honduras, Hungary, Indonesia, Iraq, Italy, Jamaica, Japan, Jordan, Kazakhstan, Kenya, Latvia, Lithuania, Mexico, Morocco, Nicaragua, Nigeria, Pakistan, Panama, Paraguay, Peru, the Philippines, Poland, Portugal, Romania, Russia, Senegal, South Africa, Spain, Sri Lanka, Tanzania, Thailand, Trinidad and Tobago, Turkey/Ottoman Empire, Ukraine, Uruguay, Venezuela, Vietnam, Yugoslavia/Serbia, Zambia, and Zimbabwe. The remaining 21 countries never defaulted on privately-held external debt since 1815, namely Armenia, Australia, Azerbaijan, Belarus, Belgium, Canada, Denmark, France, Georgia, Ireland, Lebanon, Malaysia, Mongolia, Namibia, the Netherlands, New Zealand, Norway, the Slovak Republic, South Korea, Sweden, and Switzerland.

> 33 See also Maggiori, Neiman, and Schreger (2020), who use granular data on hundreds of thousands of financial instruments, including sovereign bonds, to examine the choice of issuance currency.

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