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Replication data for: Sovereign Default Risk and Uncertainty Premia

Version
V0
Resource Type
Dataset
Creator
  • Pouzo, Demian
  • Presno, Ignacio
Publication Date
2015-12-31
Description
  • Abstract

    This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the probability model of the underlying state of the borrowing economy is misspecified. Consequently, investors demand higher returns on their bond holdings to compensate for the default risk in the context of uncertainty. In contrast with the existing literature on sovereign default, we match the bond spreads dynamics observed in the data together with other business cycle features for Argentina, while preserving the default frequency at historical low levels.
Availability
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Relations
  • Is supplemented by
    DOI: 10.1257/mac.20140337 (Text)
Publications
  • Pouzo, Demian, and Ignacio Presno. “Sovereign Default Risk and Uncertainty Premia.” American Economic Journal: Macroeconomics 8, no. 3 (July 2016): 230–66. https://doi.org/10.1257/mac.20140337.
    • ID: 10.1257/mac.20140337 (DOI)

Update Metadata: 2019-10-13 | Issue Number: 1 | Registration Date: 2019-10-13

Pouzo, Demian; Presno, Ignacio (2015): Replication data for: Sovereign Default Risk and Uncertainty Premia. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. http://doi.org/10.3886/E114106