| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30216 |
| 来源ID | Working Paper 30216 |
| Information Spillovers and Sovereign Debt: Theory Meets the Eurozone Crisis | |
| Harold L. Cole; Daniel Neuhann; Guillermo Ordoñez | |
| 发表日期 | 2022-07-04 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We develop a theory of information spillovers in sovereign bond markets in which investors can acquire information about default risk before trading in primary and secondary markets. If primary markets are structured as multi-unit discriminatory-price auctions, an endogenous winner’s curse leads to strategic complementarities in information acquisition. As a result, shocks to default risk in one country may trigger crisis episodes with widespread information acquisition, sharp increases in the level and volatility of yields in risky countries, falling yields in safe countries, endogenous market segmentation, and arbitrage profits between primary and secondary markets. These predictions are consistent with the behavior of primary and secondary market yields, market segmentation, and measures of information acquisition during the Eurozone sovereign debt crisis. |
| 主题 | Microeconomics ; Market Structure and Distribution ; Macroeconomics ; Fiscal Policy ; International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w30216 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587888 |
| 推荐引用方式 GB/T 7714 | Harold L. Cole,Daniel Neuhann,Guillermo Ordoñez. Information Spillovers and Sovereign Debt: Theory Meets the Eurozone Crisis. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w30216.pdf（1038KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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