Sovereign Default Risk and Uncertainty Premia

• 成果类型: Article
• 署名作者: Pouzo, Demian; Presno, Ignacio
• 署名单位: University of California System; University of California Berkeley; Universidad de Montevideo
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20140337
• 发表日期: 2016
• 页码: 230-266
• 关键词: business cycles; asset returns; emerging economies; current account; equity premium; interest-rates; ambiguity; debt; consumption; BEHAVIOR

摘要

This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the probability model of the underlying state of the borrowing economy is misspecified. Consequently, investors demand higher returns on their bond holdings to compensate for the default risk in the context of uncertainty. In contrast with the existing literature on sovereign default, we match the bond spreads dynamics observed in the data together with other business cycle features for Argentina, while preserving the default frequency at historical low levels.