A Macrofinance View of U.S. Sovereign CDS Premiums
研究了美国主权CDS溢价自金融危机后持续高企的原因，通过构建均衡宏观金融模型，发现溢价反映了财政违约的风险调整概率，模型校准结果与高溢价水平一致但动态影响未完全解决。
ABSTRACT Premiums on U.S. sovereign credit default swaps (CDS) have risen to persistently elevated levels since the financial crisis. We examine whether these premiums reflect the probability of a fiscal default—a state in which a balanced budget can no longer be restored by raising taxes or eroding the real value of debt by increasing inflation. We develop an equilibrium macrofinance model in which the fiscal and monetary policy stances jointly endogenously determine nominal debt, taxes, inflation, and growth. We show that the CDS premiums reflect the endogenous risk‐adjusted probabilities of fiscal default. The calibrated model is consistent with elevated levels of CDS premiums but leaves dynamic implications quantitatively unresolved.