Learning about Debt Crises
认为信息摩擦是理解政府债券收益率与经济基本面关系的关键缺失环节，通过构建主权违约模型，以葡萄牙经济为校准对象，解释了2008年前后债券利差与产出的联动变化。
The European debt crisis presents a challenge to our understanding of the relationship between government bond yields and economic fundamentals. I argue that information frictions are an important missing element and support that claim with evidence on the evolution of GDP forecast errors after 2008. I build a quantitative model of sovereign default where output features rare disasters and agents learn about their realizations. Debt crises coincide with economic depressions and develop gradually while markets update their expectations about future income. Calibrated to the Portuguese economy, the model replicates the comovement of bond spreads and output before and after 2008.