Information Spillovers and Sovereign Debt: Theory Meets the Eurozone Crisis
研究了主权债券市场中投资者在一级和二级市场交易前学习违约风险的信息溢出理论，解释了欧元区危机期间收益率波动、市场分割和套利利润等现象。
Abstract We develop a theory of information spillovers in sovereign bond markets in which investors can learn about default risk before trading in primary and secondary markets. If primary markets are structured as multi-unit discriminatory-price auctions, an endogenous winner’s curse leads to strategic complementarities in information acquisition. Shocks to default risk in one country may trigger crisis episodes with widespread information acquisition, sharp increases in the level and volatility of yields in risky countries, low and stable yields in safe countries, market segmentation, and arbitrage profits between primary and secondary markets. These predictions are consistent with the dynamics of auction informativeness during the Eurozone Sovereign Debt Crisis, which we measure using the reaction of secondary market yields to primary market yields.