Replication data for: Sovereign Default Risk and Uncertainty Premia
Principal Investigator(s): View help for Principal Investigator(s) Demian Pouzo; Ignacio Presno
Version: View help for Version V1
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Project Citation:
Pouzo, Demian, and Presno, Ignacio. Replication data for: Sovereign Default Risk and Uncertainty Premia. Nashville, TN: American Economic Association [publisher], 2016. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114106V1
Project Description
Summary:
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This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the probability model of the underlying state of the borrowing economy is misspecified. Consequently, investors demand higher returns on their bond holdings to compensate for the default risk in the context of uncertainty. In contrast with the existing literature on sovereign default, we match the bond spreads dynamics observed in the data together with other business cycle features for Argentina, while preserving the default frequency at historical low levels.
Scope of Project
JEL Classification:
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E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
F34 International Lending and Debt Problems
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
H63 National Debt; Debt Management; Sovereign Debt
O16 Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
F34 International Lending and Debt Problems
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
H63 National Debt; Debt Management; Sovereign Debt
O16 Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
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