Sovereign credit spreads
Sovereign credit spreads
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主权信用利差
DOI：
10.1016/j.jbankfin.2013.07.002
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发表时间：
2013
影响因子：
3.7
通讯作者：
M. Uhrig
中科院分区：
文献类型：
--
作者：
M. Uhrig
本文建立了一个结构性信用风险模型来研究主权信用风险和主权信用利差的动态变化。该模型的特点是内生违约率和复苏率都取决于国内产出波动和全球宏观经济条件之间的相互作用。我们发现，一旦全球宏观经济状况不佳，主权国家会选择在更高的经济产出水平上违约。这导致违约率和信贷息差远高于正常时期。我们推导出主权债务价值和违约时间的封闭式表达式，并专注于主权信用利差的动态。与主权债务的标准理论相反，本文的结构模型通过全球宏观经济环境的制度变迁产生了更丰富的违约模式和非线性。此外，全球环境的变化揭示了金融体系的相互关联性。
The paper develops a structural credit risk model to study sovereign credit risk and the dynamics of sovereign credit spreads. The model features endogenous default and recovery rates that both depend on the interaction between domestic output fluctuations and global macroeconomic conditions. We show that sovereigns choose to default at higher levels of economic output once global macroeconomic conditions are bad. This yields to default rates and credit spreads that are substantially higher compared to normal times. We derive closed-form expressions for sovereign debt values and default times and focus on the dynamics of sovereign credit spreads. As opposed to standard theories of sovereign debt, this paper’s structural model generates much richer default patterns and non-linearities through regime-shifts in the global macroeconomic environment. Moreover, changes in the global environment reveal the interconnectedness of the financial system.