Information Spillovers and Sovereign Debt: Theory Meets the Eurozone Crisis

• 成果类型: Article
• 署名作者: Cole, Harold L.; Neuhann, Daniel; Ordonez, Guillermo
• 署名单位: University of Pennsylvania; University of Texas System; University of Texas Austin
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdae017
• 发表日期: 2024
• 页码: 197-237
• 关键词: contagion; auctions; equilibrium; MODEL; price; RISK

摘要

We develop a theory of information spillovers in sovereign bond markets in which investors can learn about default risk before trading in primary and secondary markets. If primary markets are structured as multi-unit discriminatory-price auctions, an endogenous winner's curse leads to strategic complementarities in information acquisition. Shocks to default risk in one country may trigger crisis episodes with widespread information acquisition, sharp increases in the level and volatility of yields in risky countries, low and stable yields in safe countries, market segmentation, and arbitrage profits between primary and secondary markets. These predictions are consistent with the dynamics of auction informativeness during the Eurozone Sovereign Debt Crisis, which we measure using the reaction of secondary market yields to primary market yields.