Sovereign Default Risk and Uncertainty Premia
研究国际投资者对模型误设的担忧如何影响主权债券利差，构建包含内生违约的一般均衡模型，匹配阿根廷的利差动态与商业周期特征，同时保持违约频率处于历史低位。
This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the probability model of the underlying state of the borrowing economy is misspecified. Consequently, investors demand higher returns on their bond holdings to compensate for the default risk in the context of uncertainty. In contrast with the existing literature on sovereign default, we match the bond spreads dynamics observed in the data together with other business cycle features for Argentina, while preserving the default frequency at historical low levels.