Data and codes for News, sovereign debt maturity, and default risk

Leading into a debt crisis, interest rate spreads on sovereign debt rise before the economy experiences a decline in productivity, suggesting that news about future economic developments may play an important role in these episodes. An empirical VAR estimation shows that a news shock has a larger contemporaneous impact on sovereign credit spreads than a comparable shock to labor productivity. A quantitative model of news and sovereign debt default with endogenous maturity choice generates impulse responses and a variance decomposition similar to the empirical VAR estimates. The dynamics of the economy after a bad news shock share some features of a productivity shock and some features of sudden stop events. However, unlike during sudden stop episodes, long-term debt does not shield the country from bad news shocks, and it may even exacerbate default risk. Finally, an increase in the precision of news allows the government to improve its debt maturity management, especially during periods of high stress in credit markets, and thus face lower yield spreads while increasing the amount of debt.在债务危机酝酿阶段，主权债务的利率息差会在经济体生产率下滑之前走高，这表明未来经济发展相关消息在这类危机事件中或发挥着关键作用。实证向量自回归（VAR）模型估计结果显示，相较于同等规模的劳动生产率冲击，新闻冲击对主权信贷息差的同期影响更为显著。一个纳入新闻冲击与内生债务期限选择的主权债务违约定量模型，其所生成的脉冲响应与方差分解结果与实证VAR估计结果高度相似。负面新闻冲击发生后，经济体的动态演变兼具生产率冲击与突然停摆事件的部分特征。然而，与突然停摆事件期间的情况不同，长期债务并不能为经济体抵御负面新闻冲击提供缓冲，甚至可能加剧违约风险。最后，提升新闻信息的精准度能够帮助政府优化债务期限管理——尤其是在信贷市场压力高企的阶段——从而在扩大债务规模的同时，降低主权债务的收益率息差。