| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6244 |
| DP6244 The Dog that Did Not Bark: Insider Trading and Crashes | |
| José Maria Marín Vigueras; Jacques Olivier | |
| 发表日期 | 2007-04-23 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We argue that emerging economies borrow short term due to the high risk premium charged by bondholders on long-term debt. First, we present a model where the debt maturity structure is the outcome of a risk sharing problem between the government and bondholders. By issuing long-term debt, the government lowers the probability of a rollover crisis, transferring risk to bondholders. In equilibrium, this risk is reflected in a higher risk premium and borrowing cost. Therefore, the government faces a trade-off between safer long-term debt and cheaper short-term debt. Second, we construct a new database of sovereign bond prices and issuance. We show that emerging economies pay a positive term premium (a higher risk premium on long-term bonds than on short-term bonds). During crises, the term premium increases, with issuance shifting towards shorter maturities. The evidence suggests that international investors' time-varying risk aversion is crucial to understand the debt structure in emerging economies. |
| 主题 | International Macroeconomics |
| 关键词 | Emerging market debt Financial crises Investor risk aversion Maturity structure risk premium Term premium |
| URL | https://cepr.org/publications/dp6244 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535090 |
| 推荐引用方式 GB/T 7714 | José Maria Marín Vigueras,Jacques Olivier. DP6244 The Dog that Did Not Bark: Insider Trading and Crashes. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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