国际清算银行：财政风险的财务和实际影响（英文版）

We examine what happens when investors question fiscal sustainability and demand higher sovereign bond yields as compensation for higher risk. We call these episodes fiscal risk shocks. Such shocks can arise, for example, from a government announcing new spending or tax cuts, or from news that worsens its budget outlook. We develop a new method to identify these shocks from daily movements in bond yields. When fiscal concerns intensify, investors retreat from government bonds and shift toward