Sovereign default and maturity choice

• 成果类型: Article
• 署名作者: Sanchez, Juan M.; Sapriza, Horacio; Yurdagul, Emircan
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.01.001
• 发表日期: 2018
• 页码: 72-85
• 关键词: crises; default; yield curve; spreads; Bond duration; finance; Sovereign maturity choice

摘要

This study develops a novel model of endogenous sovereign debt maturity that rationalizes various stylized facts about debt maturity and the yield spread curve: first, sovereign debt duration and maturity generally exceed one year, and co-move positively with the business cycle. Second, sovereign yield spread curves are usually non-linear and upward-sloped, and may become non-monotonic and inverted during a period of high credit market stress, such as a default episode. Finally, output volatility, impatience, risk aversion, and especially sudden stops, are key determinants of maturity, both in our model and in the data. (C) 2018 Elsevier B.V. All rights reserved.