Sovereign debt maturity structure under asymmetric information

• 成果类型: Article
• 署名作者: Perez, Diego J.
• 署名单位: New York University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2017.05.007
• 发表日期: 2017
• 页码: 243-259
• 关键词: sovereign debt; Maturity Structure; asymmetric information

摘要

This paper studies the optimal choice of sovereign debt maturity when investors are unaware of the government's willingness to repay. Under a pooling equilibrium there is a wedge between the borrower's true default risk and the default risk priced in debt, and its size differs with the maturity of debt. Safe borrowers tilt their debt maturity towards short-term - relative to the optimal choice under perfect information - since long-term debt pools more default risk that is not inherent to them. Risky borrowers mimic their behavior of safe borrowers to preclude the market from identifying their type. In times of financial distress, spreads increase and the default risk wedge of long-term debt relative to short-term debt increases, which makes borrowers shorten their debt maturity. Data on bond issuances for a panel of countries show that, consistent with the model, maturities co-vary negatively with spreads and that this co-movement is stronger in those situations in which informational asymmetries are larger. (C) 2017 Elsevier B.V. All rights reserved.