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

该奖项为主权债务危机的研究提供资金。这种类型的危机发生在一个国家的主权债券价格与低风险或无风险债券相比大幅上涨时。希腊债务危机就是最近的一个例子。这一研究项目试图确定投资者在信念和信息获取方面的变化是否可以解释这些危机的一些关键观察特征。首先，这些危机似乎来来去去，没有太多警告，只与国家层面的基本面有松散的联系。其次，它们还表现出传染性--也就是说，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了危机是否会引发相对次要的信息。第二部分通过模拟投资者如何在竞标政府债券之前决定是否收集更多信息来检验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政策制定者确定对美国以外主权债务危机的正确回应，并帮助世界各地的政策制定者完全避免这些危机。该奖项资助的第一个项目按照Cole和Kehoe(2000)的思路，考虑了自我实现危机模型模型中的全套均衡。我们的目标是证明这些模型中的一个均衡是以前的研究没有认识到的。这种均衡与数据在两个不同方面是一致的：首先，在拍卖失败导致违约的情况下，危机可能会发生。其次，主权利差与国家基本面没有紧密联系。第二个项目继续使用这个模型，但为投资者增加了一个信息选择决策，并仔细建模了投资者可以根据信息预期获得的交易收益。然后，项目将分析模型，以确定有信息获取和没有信息获取的均衡是否可以同时存在，并对均衡结果进行表征。

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.