Sánchez, Juan M.Sapriza, HoracioYurdagul, Emircan2022-03-282022-03-282018-05-01Sánchez, J. M., Sapriza, H., & Yurdagul, E. (2018). Sovereign default and maturity choice. Journal of Monetary Economics ,95, pp. 72-85.0304-3932https://hdl.handle.net/10016/34473This study develops a novel model of endogenous sovereign debt maturity that rationalizes various stylized facts about debt maturity and the yield spread curve: first, sovereign debt duration and maturity generally exceed one year, and co-move positively with the business cycle. Second, sovereign yield spread curves are usually non-linear and upward-sloped, and may become non-monotonic and inverted during a period of high credit market stress, such as a default episode. Finally, output volatility, impatience, risk aversion, and especially sudden stops, are key determinants of maturity, both in our model and in the data.eng© 2018 ElsevierAtribución-NoComercial-SinDerivadas 3.0 EspañaCrisesDefaultYield curveSpreadsBond durationFinanceSovereign maturity choiceresearch articleF34F41G15Economíahttps://doi.org/10.1016/j.jmoneco.2018.01.001open access7285JOURNAL OF MONETARY ECONOMICS95AR/0000022384