TIME‐VARYING VOLATILITY, DEFAULT, AND THE SOVEREIGN RISK PREMIUM
研究了波动性变化如何影响战略违约模型中的主权利差，发现波动冲击的影响取决于债务水平，低债务时引发预防性储蓄，高债务时则加剧债务和利差上升，并用欧洲债务危机数据验证了模型。
Abstract This article studies how volatility changes affect sovereign spreads in strategic default models. Volatility changes affect savings and sovereign spreads. However, the impact of volatility shocks is state dependent; when the economy has a low debt, an increase in volatility is prone to generate precautionary savings. Instead, with high debt, an increase in volatility is likely to induce an even further increase in debt and spreads, both in endowment and production economies. I document a positive correlation between sovereign spreads and aggregate income volatility for a set of European economies during the debt crisis, consistent with the model's implications.