Default and the Maturity Structure in Sovereign Bonds
研究了新兴市场政府债务的期限构成和利差期限结构，发现利差上升时债务期限缩短且短期债券利差上升更多，并构建了包含内生违约和多期限债务的动态模型来解释这一现象。
This paper studies the maturity composition and the term structure of interest rate spreads of government debt in emerging markets. In the data, when interest rate spreads rise, debt maturity shortens and the spread on short-term bonds rises more than the spread on long-term bonds. We build a dynamic model of international borrowing with endogenous default and multiple debt maturities. Long-term debt provides a hedge against future fluctuations in spreads, whereas short-term debt is more effective at providing incentives to repay. The trade-off between these hedging and incentive benefits is quantitatively important for understanding the maturity structure in emerging markets.