Default Risk on Government Debt in OECD Countries
研究12个经合组织国家中，政府债务规模与公共和私人利率差之间的强相关性，表明市场已对部分国家的政府债务违约风险定价，但风险很小。
Default risk Alberto Alesina, Mark De Broeck, Alessandro Prati and Guido Tabellini Different European countries pay very different interest rates on their public debts. Will these differences disappear if and when exchange rates come to be irrevocably fixed in the European Monetary Union? Or rather will default risks in the high debt countries keep interest rates from converging? To answer this question, this paper investigates whether a perceived default risk is already priced by the market The paper compares the interest rates on public and private financial instruments denominated in the same currencies in 12 OECD countries. A strong correlation is found between the size of public indebtedness and the spread between public and private rates of return. This correlation suggests that the markets perceive a default risk on the public debt of some OECD countries. The size of this default risk is however very small.