Asymmetric Information and Sovereign Debt: Theory Meets Mexican Data

• 成果类型: Article
• 署名作者: Cole, Harold; Neuhann, Daniel; Ordonez, Guillermo
• 署名单位: University of Pennsylvania; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/720139
• 发表日期: 2022
• 页码: 2055-2109
• 关键词: default; equilibrium; auctions; RISK

摘要

Using bid-level data from discriminatory auctions for Mexican government bonds, we demonstrate that asymmetric information about default risk is a key friction in sovereign bond markets. We document that large bidders achieve higher bid-acceptance rates than other bidders despite paying no more for executed bids. We then propose a new model of primary markets in which investors may differ in wealth, risk aversion, market power, and information. Only asymmetric information can qualitatively account for our empirical finding, and asymmetric information about rare disasters can quantitatively match bidding and yield moments. Counterfactuals reveal substantial effects of asymmetric information on yields.