非弹性需求满足风险主权债券的最优供应（英）

PublicDisclosureAuthorized PublicDisclosureAuthorized PolicyResearchWorkingPaper10735 InelasticDemandMeetsOptimalSupplyofRiskySovereignBonds MatíasMorettiLorenzoPandolfiSergioL.SchmuklerGermánVillegasBauerTomásWilliams DevelopmentEconomicsDevelopmentResearchGroupMarch2024 PolicyResearchWorkingPaper10735 Abstract Thispaperpresentsevidenceofinelasticdemandinthemarketforriskysovereignbondsandexaminesitsinter-playwithgovernmentpolicies.Themethodologycombinesbond-levelevidencewithastructuralmodelfeaturingendogenousbondissuancesanddefaultrisk.Empirically,thepaperexploitsmonthlychangesinthecompositionofamajorbondindextoidentifyflowshocksthatshifttheavailablebondsupplyandareunrelatedtocountryfundamentals.Thepaperfindsthata1percentagepoint reductionintheavailablesupplyincreasesbondpricesby33basispoints.Althoughexogenous,theseshocksmightinflu-encegovernmentpoliciesandexpectedbondpayoffs.Thepaperidentifiesastructuraldemandelasticitybyfeedingtheestimatedpricereactionsintoasovereigndebtmodelthatisolatesendogenousgovernmentresponses.Theseresponsesaccountforathirdoftheestimatedpricereactions.Bypenalizingadditionalborrowing,inelasticdemandactsasacommitmentdevicethatreducesdefaultrisk. ThispaperisaproductoftheDevelopmentResearchGroup,DevelopmentEconomics.ItispartofalargereffortbytheWorldBanktoprovideopenaccesstoitsresearchandmakeacontributiontodevelopmentpolicydiscussionsaroundtheworld.PolicyResearchWorkingPapersarealsopostedontheWebathttp://www.worldbank.org/prwp.Theauthorsmaybecontactedatmatias.moretti@rochester.edu;lorenzo.pandolfi@unina.it;sschmukler@worldbank.org;gvillegasbauer@imf.org;tomaswilliams@email.gwu.edu. ThePolicyResearchWorkingPaperSeriesdisseminatesthefindingsofworkinprogresstoencouragetheexchangeofideasaboutdevelopmentissues.Anobjectiveoftheseriesistogetthefindingsoutquickly,evenifthepresentationsarelessthanfullypolished.Thepaperscarrythenamesoftheauthorsandshouldbecitedaccordingly.Thefindings,interpretations,andconclusionsexpressedinthispaperareentirelythoseoftheauthors.TheydonotnecessarilyrepresenttheviewsoftheInternationalBankforReconstructionandDevelopment/WorldBankanditsaffiliatedorganizations,orthoseoftheExecutiveDirectorsoftheWorldBankorthegovernmentstheyrepresent. ProducedbytheResearchSupportTeam InelasticDemandMeetsOptimalSupplyofRiskySovereignBonds∗ Mat´ıasMoretti UniversityofRochester LorenzoPandolfi UniversityofNaplesFedericoIIandCSEF SergioL.Schmukler WorldBank Germ´anVillegasBauer InternationalMonetaryFund Tom´asWilliams GeorgeWashingtonUniversity Keywords:emergingmarketsbondindex,inelasticfinancialmarkets,institutionalinvestors,internationalcapitalmarkets,smallopeneconomies,sovereigndebt JELCodes:F34,F41,G11,G15 ∗WethankWalkerRayandtheparticipantsatapresentationheldattheASSAAnnualMeetingsforhelpfulfeedback.WearegratefultoPatricioYunisforresearchassistanceandAntonnParkforcopyediting.TheWorldBankChileResearchandDevelopmentCenterandKnowledgeforChangeProgram(KCP)andGeorgeWashingtonUniversityFacilitatingFund(GWUUFF)providedfinancialsupportforthispaper.LorenzoPandolfigratefullyacknowledgesfinancialsupportfromtheUnicreditFoundation.Thefindings,interpretations,andconclusionsexpressedinthispaperareentirelythoseoftheauthors.TheydonotnecessarilyrepresenttheviewsoftheIMFortheWorldBank,thoseoftheirExecutiveDirectors,orthegovernmentstheyrepresent.Moretti:matias.moretti@rochester.edu.Pandolfi:lorenzo.pandolfi@unina.it.Schmukler:sschmukler@worldbank.org.VillegasBauer:gvillegasbauer@imf.org.Williams:tomaswilliams@email.gwu.edu. 1Introduction Governmentsinemergingeconomiesheavilydependonbondsissuedinliquidinternationalcapitalmarketsfortheiroverallfinancing.Thebehaviorofinvestorsinthesemarketsisthuscrucialtounderstandinggovernments’borrowingcosts,defaultrisk,andoptimaldebtmanagement.Standardsovereigndebtmodelsoftenassumethatinvestordemandisperfectlyelastic,implyingthatinvestorsarewillingtolendanyamountgovernmentsrequestattherisk-freerateplusadefaultriskpremium.Thisassumptiononinvestorbehaviorcontrastswithabodyofrecentworkforotherassetmarketsthatallowsforaricherinvestordemandstructure,typicallyinvolvinganinelasticordownward-slopingdemand(KoijenandYogo,2019;GabaixandKoijen,2021;VayanosandVila,2021;Gourinchasetal.,2022;Greenwoodetal.,2023). Inthispaper,wepresentnovelevidenceofdownward-slopingdemandcurvesinriskysovereignbondmarketsandanalyzetheirimpactongovernments’optimaldebtpolicies.Inthecontextofriskysovereignbonds,estimatingademandelasticityischallengingfortwomainreasons.Ideally,onewouldliketoidentifyshockstotheavailablebondsupplythatareunrelatedtocountryfundamentals,estimatepricereactionsaroundthem,andmapthoseeffectsintoanelasticity.However,suchexogenousshocksarerareforsovereignbonds.Moreover,evenifonewereabletoidentifythoseshocks,governmentscouldrespondtothembyadjustingfutureissuancesortheirdefaultlikelihood.Thus,theestimatedpricereactionmightnotjustcaptureadownward-slopingdemandcurvebutalsochangesinbonds’expectedpayoffs. Weovercomethesechallengesbycombininganovelidentificationstrategywithastructuralmod