Fiscal Limits and the Pricing of Eurobonds
提出了一种对多国联合发行的欧元债券进行定价的方法，区分了联合担保和非联合担保两种类型，并利用欧元区六大经济体的财政限制数据估算了反事实价格，发现联合担保债券在总体上能降低收益率利差，但危机时收益可能暂时消失。
This paper proposes a methodology to price bonds jointly issued by a group of countries—Eurobonds in the euro-area context. We consider two types of bonds; the first is backed by several and joint guarantees (SJGs), and the second features several but not joint guarantees (SNJGs). The pricing of SJG and SNJG bonds reflects different assumptions regarding the pooling of debtors’ fiscal resources. We estimate fiscal limits for the six largest euro-area economies over 2008–2021 and deduce counterfactual Eurobond prices. For the five-year maturity, SNJG bond yield spreads would have been about three times larger than SJG ones over the estimation sample. Hence, issuing SJG bonds could result in gains at the aggregate level. Notwithstanding, our model also predicts that gains may temporarily vanish in periods of acute fiscal stress. We finally envision postissuance redistribution schemes, whereby gains stemming from the issuance of SJG bonds could be shared among participating countries; we argue that these schemes may alleviate the reduction in market discipline resulting from common bonds issuance. This paper was accepted by David Sraer, finance. Funding: This work has benefited from financial support from the Swiss National Science Foundation [Grant 182293]. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2023.4740 .