Asymmetric Information and Sovereign Debt: Theory Meets Mexican Data
利用墨西哥政府债券拍卖的投标数据，发现关于违约风险的信息不对称是主权债券市场的关键摩擦，大投标者中标率更高但支付价格并不更高，并通过模型量化了信息不对称对收益率的影响。
Using bid-level data from discriminatory auctions for Mexican government bonds, we demonstrate that asymmetric information about default risk is a key friction in sovereign bond markets. We document that large bidders achieve higher bid-acceptance rates than other bidders despite paying no more for executed bids. We then propose a new model of primary markets in which investors may differ in wealth, risk aversion, market power, and information. Only asymmetric information can qualitatively account for our empirical finding, and asymmetric information about rare disasters can quantitatively match bidding and yield moments. Counterfactuals reveal substantial effects of asymmetric information on yields.