世界银行-非弹性需求满足风险主权债券的最优供应（英）-2024.3-53页

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2024-07-10
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PublicDisclosureAuthorizedPolicyResearchWorkingPaper10735PublicDisclosureAuthorizedInelasticDemandMeetsOptimalSupplyofRiskySovereignBondsPublicDisclosureAuthorizedMatíasMorettiLorenzoPandolfiSergioL.SchmuklerGermánVillegasBauerTomásWilliamsPublicDisclosureAuthorizedDevelopmentEconomicsDevelopmentResearchGroupMarch2024PolicyResearchWorkingPaper10735Abstractreductionintheavailablesupplyincreasesbondpricesby33basispoints.Althoughexogenous,theseshocksmightinflu-Thispaperpresentsevidenceofinelasticdemandintheencegovernmentpoliciesandexpectedbondpayoffs.Themarketforriskysovereignbondsandexaminesitsinter-paperidentifiesastructuraldemandelasticitybyfeedingtheplaywithgovernmentpolicies.Themethodologycombinesestimatedpricereactionsintoasovereigndebtmodelthatbond-levelevidencewithastructuralmodelfeaturingisolatesendogenousgovernmentresponses.Theseresponsesendogenousbondissuancesanddefaultrisk.Empirically,accountforathirdoftheestimatedpricereactions.Bythepaperexploitsmonthlychangesinthecompositionpenalizingadditionalborrowing,inelasticdemandactsasofamajorbondindextoidentifyflowshocksthatshiftacommitmentdevicethatreducesdefaultrisk.theavailablebondsupplyandareunrelatedtocountryfundamentals.Thepaperfindsthata1percentagepointThispaperisaproductoftheDevelopmentResearchGroup,DevelopmentEconomics.Itispartofalargereffortbyth...

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