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Default risk and risk averse international investors

机译：违约风险和规避风险的国际投资者

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This paper develops an endogenous default risk model for small open economies that interact with risk averse international investors whose preferences exhibit decreasing absolute risk aversion (DARA). By incorporating risk averse investors who trade with an emerging economy, the present model explains a larger proportion and volatility of the spread between sovereign bonds and riskless assets than the standard model with risk neutral investors. The paper shows that if investors have DARA preferences, then the emerging economy's default risk, capital flows, and bond prices are a function not only of the fundamentals of the economy but also of the level of financial wealth and risk aversion of international investors. In particular, as investors become wealthier or less risk averse, the emerging economy becomes less credit constrained. As a result, the emerging economy's default risk is lower, and its bond prices and capital inflows are higher. Additionally, with risk averse investors, the risk premium in the asset prices of the sovereign countries can be decomposed into two components: a base premium that compensates the investors for the probability of default and an "excess" premium that compensates them for taking the risk of default.
机译：本文为小型开放经济体开发了一种内生的违约风险模型，该模型与偏好规避降低绝对风险规避（DARA）的规避风险的国际投资者互动。通过与从事新兴经济体交易的规避风险的投资者相结合，本模型可以解释主权债券和无风险资产之间的利差比具有风险中性投资者的标准模型更大的比例和波动性。本文表明，如果投资者具有DARA偏好，那么新兴经济体的违约风险，资本流动和债券价格不仅是经济基本面的函数，而且还是金融财富水平和国际投资者规避风险的函数。尤其是，随着投资者变得更富裕或风险厌恶程度降低，新兴经济体的信贷约束也将减少。结果，新兴经济体的违约风险更低，其债券价格和资本流入也更高。此外，对于厌恶风险的投资者，主权国家资产价格中的风险溢价可以分解为两个部分：补偿投资者违约概率的基本溢价和补偿他们承担风险的“超额”溢价默认。

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