IRIS - Institutional Research Information System
IRIS è il sistema di gestione integrata dei dati della ricerca adottato dalla Luiss Guido Carli. Il Catalogo dei prodotti della ricerca della Luiss raccoglie e rende disponibile, dove possibile nel rispetto del diritto d'autore, la produzione scientifica dei docenti e ricercatori dell'Ateneo. Il Catalogo alimenta inoltre i siti docenti del MIUR.
EnglishIn this paper I develop a model of sovereign lending with default and long-duration coupon bonds. Long-duration bonds offer an insurance benefit to the borrower because countries are not required to frequently roll-over outstanding debt. However, investors anticipate that countries might default in the future and ask for returns that compensate for this risk. In this framework, I find that bonds with longer duration offer higher interest rate spreads. Bonds issued by countries that are more likely to receive negative income shocks when investors’ consumption is low have significantly higher interest rate spreads because investors anticipate defaults many periods into the future
| Titolo: | Risk premia in long-duration sovereign bonds |
| Autori: | |
| Data di pubblicazione: | 2015 |
| Abstract: | In this paper I develop a model of sovereign lending with default and long-duration coupon bonds. Long-duration bonds offer an insurance benefit to the borrower because countries are not required to frequently roll-over outstanding debt. However, investors anticipate that countries might default in the future and ask for returns that compensate for this risk. In this framework, I find that bonds with longer duration offer higher interest rate spreads. Bonds issued by countries that are more likely to receive negative income shocks when investors’ consumption is low have significantly higher interest rate spreads because investors anticipate defaults many periods into the future |
| Handle: | http://hdl.handle.net/11385/144394 |
| Appare nelle tipologie: | 05.1 - Working Paper |
File in questo prodotto:
Copyright © 2020