Sovereign bonds' risk‐based heterogeneity
研究了30个国家2001-2019年数据，发现主权债券风险溢价受信用评级影响呈现异质性：低风险债券利差随增长和通胀上升，高风险债券利差随增长下降且对波动更敏感，财政盈余仅在低波动和增长时降低利差。
Abstract Are sovereign risk premia subject to heterogeneous effects from their drivers, associated with the risk class each sovereign bond belongs to? In the paper at hand, effects on sovereign bond risk premia stemming from macroeconomic, fiscal, and volatility factors, are examined by considering the classification of sovereign riskiness. Panel data estimation techniques are used, for 30 countries, with data in quarterly frequency for the period 2001Q1 to 2019Q4. Sovereign spreads are found to be subject to heterogeneous effects associated with their credit ratings; spreads on sovereign bonds considered low‐risk increase with higher growth rates and inflation, while spreads on highly risky bonds decrease with higher growth rates and are more sensitive to idiosyncratic and global volatility. Primary fiscal surpluses indeed lower spreads but cannot counterbalance the effects of volatility episodes and the prospects for low growth. Our results provide support for countercyclical fiscal policies, suggesting that spreads can be expected to be reduced by primary surpluses, under the condition that the economy expands and market volatility is low. Our main findings are robust to various alternative setups, samples, and control variables such as central banks' asset purchases.