Default Risk and the Pricing of U.S. Sovereign Bonds
研究了美国违约风险如何影响名义国债与通胀保值债券的相对定价，发现对冲盈亏平衡通胀率与违约风险显著正相关，并估计了仿射期限结构模型以揭示违约风险影响通胀互换和国债收益率的机制。
ABSTRACT We examine the relative pricing of nominal Treasury bonds and Treasury inflation‐protected securities in the presence of U.S. default risk. Hedged breakeven inflation is significantly positively related to U.S. default risk, driven by correlation between shocks to default risk and both shocks to inflation swap premia and Treasury yields. To understand the mechanisms through which default risk is related to inflation swaps and sovereign yields, we estimate an affine term structure model to capture their joint dynamics. Our estimation implies that the interaction between inflation dynamics and default is the primary source of differential pricing.