Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
Transactions costs associated with taking short positions on sovereign debt can have profound effects on government debt yields and the pattern of trade as a country moves toward default. To make this point we propose an equilibrium model of the sovereign debt market and fit the model to reproduce the dynamic path of 5-year Greek sovereign bond yields between 2008 and its credit event in 2012. We find that short-selling costs play a central role in accounting for the path of government bond yields and the pattern of movements in net credit default swap positions on Greek debt during this sample period. (Copyright: Elsevier)