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多数主权违约模型假设产出增长率为一阶自回归过程,而现实经济中,产出冲击经常是不对称的,更符合状态转换过程。本文将不对称产出冲击的假设引入主权违约模型,并以1993—2007年的阿根廷经济作为例子,研究了该假设下的主权违约概率。作为结果,本文模型更好地匹配了阿根廷经济中包括消费、产出、违约概率、债务规模和主权债券利差在内的多组数据。特别是,本文模型能同时匹配现实数据中较高的主权债务利差水平和较低的利差波动率。
Most sovereign default models assume that the output growth rate is first-order autoregressive. In the real economy, the output shock is often asymmetric and more in line with the state transition process. This paper introduces the assumption of asymmetric output shocks into the model of sovereign default, and takes the 1993-2007 economy of Argentina as an example to study the probability of sovereign default under this assumption. As a result, the model of the paper better matches multiple sets of data in the Argentine economy including consumption, output, default probability, debt size and sovereign bond spreads. In particular, the model can simultaneously match the higher sovereign debt spreads and lower spreads of real data.