Re-examining the Roles of Beliefs and Information in Sovereign Debt Crises

该奖项资助对主权债务危机的研究。当一国主权债券的价格与低风险或无风险债券相比大幅上涨时，就会发生这种危机。希腊债务危机就是一个很好的例子。该研究项目旨在确定投资者的信念和信息获取的变化是否可以解释这些危机的一些关键观察特征。第一，这些危机似乎来得快去得也快，没有多少预警，与国家层面的基本面只有松散的联系。第二，它们还表现出传染性--即它们从一个国家传播到另一个国家。该项目的第一部分考虑危机是否会因相对次要的信息而发生。第二部分通过对投资者在投标政府债券前是否收集额外信息的决策进行建模，考察了信息在债务危机中的作用。该项目开发的基本见解，可以帮助美国决策者确定正确的应对美国以外的主权债务危机，以及帮助世界各地的决策者完全避免这些危机。该奖项资助的第一个项目考虑了Cole和Kehoe（2000）的自我实现危机模型中的全套均衡。我们的目标是证明，在这些模型中的一个均衡没有被以前的研究所承认。这种均衡在两个不同的方面与数据一致：首先，危机可能发生，而不会导致违约的失败拍卖。其次，主权利差与国家基本面没有紧密联系。第二个项目延续了这个模型，但增加了投资者的信息选择决策，并仔细模拟了投资者可以期望根据信息获得的交易收益。然后，该项目将分析该模型，以确定是否可以同时存在有信息获取和无信息获取的均衡，并描述均衡结果。

This award funds research on sovereign debt crises. This type of crisis occurs when there is a large increase in the prices of a country's sovereign bonds compared to low-risk or risk-free bonds. The Greek debt crisis is a recent example. This research project seeks to determine if changes in beliefs and information acquisition by investors can explain some key observed features of these crises. First, that these crises seem to come and go without much warning and with only a loose connection to country-level fundamentals. Second, that they also exhibit contagion - that is, they spread from one country to the next. The first part of the project considers whether crises may turn on relatively minor pieces of information. The second part examines the role of information in debt crises by modeling how investors make decisions about whether or not to gather additional information before bidding on government bonds. The project develops basic insights that can aid U.S. policymakers in determining the correct responses to sovereign debt crises outside the United States, as well as helping policymakers around the world avoid these crises altogether. The first project funded by this award considers the full set of equilibria in models of self-fulfilling crisis models along the lines of Cole and Kehoe (2000). The goal is to demonstrate that one equilibrium in these models has not been recognized by previous research. That equilibrium is consistent with the data in two different ways: first, a crisis can occur without a fail auction leading to default. Second, sovereign spreads are not tightly linked to country fundamentals. The second project continues with this model but adds an information choice decision for investors and carefully models the sort of trading gains investors can expect to accrue based on information. The project will then analyze the model to determine if equilibria with and without information acquisition can simultaneously exist and to characterize the equilibrium results.