Default Risk and the Pricing of US Sovereign Bonds

• 成果类型: Article
• 署名作者: Dittmar, Robert F.; Hsu, Alex; Roussellet, Guillaume; Simasek, Peter
• 署名单位: Rice University; University System of Georgia; Georgia Institute of Technology; McGill University; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70014
• 发表日期: 2026-04
• 关键词: term structure; REAL RATES; credit; liquidity; premia; tips; expectations; forecasts; crises; zero

摘要

We examine the relative pricing of nominal Treasury bonds and Treasury inflation-protected securities in the presence of U.S. default risk. Hedged breakeven inflation is significantly positively related to U.S. default risk, driven by correlation between shocks to default risk and both shocks to inflation swap premia and Treasury yields. To understand the mechanisms through which default risk is related to inflation swaps and sovereign yields, we estimate an affine term structure model to capture their joint dynamics. Our estimation implies that the interaction between inflation dynamics and default is the primary source of differential pricing.