| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16795 |
| DP16795 The Premia on State-Contingent Sovereign Debt Instruments | |
| Taehoon Kim; Antoine Levy | |
| 发表日期 | 2021-12-09 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | State-contingent debt instruments such as GDP-linked warrants have garnered attention as a potential tool to help debt-stressed economies smooth repayments over business cycles, yet very few studies of the empirical properties of these instruments exist. This paper develops a general framework to estimate the time-varying risk premium of a state-contingent sovereign debt instrument. Our estimation framework applied to GDP-linked warrants issued by Argentina, Greece, and Ukraine reveals three stylized facts: (i) the risk premium in state-contingent instruments is high and persistent; (ii) the risk premium exhibits a pro-cyclical pattern; and (iii) the liquidity premium is higher and more volatile than that for plain-vanilla government bonds issued by the same sovereign. We then present a model in which investors fear ambiguity and that can account for the cyclical properties of the risk premium. |
| 主题 | Financial Economics |
| 关键词 | State-contingent debt instruments Gdp-linked warrants Risk premia Procyclicality |
| URL | https://cepr.org/publications/dp16795 |
| 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/545727 |
| 推荐引用方式 GB/T 7714 | Taehoon Kim,Antoine Levy. DP16795 The Premia on State-Contingent Sovereign Debt Instruments. 2021. |
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