Modeling Credit Contagion via the Updating of Fragile Beliefs
提出了一个考虑传染风险的违约债券均衡模型，其中代理人的脆弱信念导致对经济状态的不确定性，并需要时变风险溢价。基于欧洲主权CDS数据的估计显示，模型优于仿射模型，传染解释了大部分CDS利差变动，尤其在危机前。
We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with "fragile beliefs" are uncertain about the underlying economic state and its probability. Estimation on sovereign European credit default swaps (CDS) data shows that agents require a time-varying risk premium for bearing state uncertainty. The model outperforms affine specifications with the same number of state variables, suggesting that there are important nonlinearities in credit spreads that are captured by our model. Contagion drives most of the variation in CDS spreads, especially before the crisis. However, economic fundamentals account for a significant fraction during the crisis.