COSTLY INFORMATION AND SOVEREIGN RISK
在一个主权违约模型中研究信息获取成本对主权风险的影响，利用彭博新闻热度数据实证识别信息成本，并提出了危机波动率比这一新指标。
Abstract The consequences of costly information acquisition for sovereign risk are explored in a quantitative sovereign default model. We identify information costs empirically using Bloomberg news‐heat data. The calibrated model microfounds heteroskedasticity in the country risk spread as measured by a novel metric we call the Crisis Volatility Ratio (CVR). Crises are endogenously more volatile because more information is acquired and priced. Recalibrated extant models do not generate CVRs in the empirical range, but ours does. Because effective risk tolerance depends on the information set, the model also suggests that risk premia fall with information costs.