Arbeitspapier
Sovereign default risk and uncertainty premia
This paper studies how foreign 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 explain the bond spreads dynamics observed in the data as well as other business cycle features for Argentina, while preserving the default frequency at historical low levels.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 12-11
- Klassifikation
-
Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
Macroeconomics: Consumption; Saving; Wealth
Business Fluctuations; Cycles
Interest Rates: Determination, Term Structure, and Effects
- Thema
-
sovereign debt
default risk
model uncertainty
robust control
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Pouzo, Demian
Presno, Ignacio
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Boston
- (wo)
-
Boston, MA
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Pouzo, Demian
- Presno, Ignacio
- Federal Reserve Bank of Boston
Entstanden
- 2012
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