COSTLY INFORMATION AND SOVEREIGN RISK

• 成果类型: Article
• 署名作者: Gu, Grace Weishi; Stangebye, Zachary R.
• 署名单位: University of California System; University of California Santa Cruz; University of Notre Dame
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12653
• 发表日期: 2023
• 页码: 1397-1429
• 关键词: time-varying volatility; default risk; investor attention; debt; search; equilibrium; maturity; MARKETS; prices; models

摘要

The consequences of costly information acquisition for sovereign risk are explored in a quantitative sovereign default model. We identify information costs empirically using Bloomberg news-heat data. The calibrated model microfounds heteroskedasticity in the country risk spread as measured by a novel metric we call the Crisis Volatility Ratio (CVR). Crises are endogenously more volatile because more information is acquired and priced. Recalibrated extant models do not generate CVRs in the empirical range, but ours does. Because effective risk tolerance depends on the information set, the model also suggests that risk premia fall with information costs.