英文标题：
《Sovereign Default Risk and Uncertainty Premia》
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作者：
Demian Pouzo and Ignacio Presno
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最新提交年份：
2015
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英文摘要：
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.
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中文摘要：
本文研究了国际投资者对模型错误设定的担忧如何影响主权债券息差。我们建立了一个内生违约主权债务的一般均衡模型，其中投资者担心借贷经济基本状态的概率模型被错误地指定。因此，投资者要求其持有的债券获得更高的回报，以补偿不确定性背景下的违约风险。与关于主权违约的现有文献相比，我们将数据中观察到的债券利差动态与阿根廷的其他商业周期特征相匹配，同时将违约频率保持在历史低位。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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