Using bid-level data from discriminatory auctions for Mexican government bonds, we demonstrate that asymmetric information about default risk is a key friction in sovereign bond markets. We document that large bidders achieve higher bid-acceptance rates than other bidders despite paying no more for executed bids. We then propose a new model of primary markets in which investors may differ in wealth, risk aversion, market power, and information. Only asymmetric information can qualitatively account for our empirical finding, and asymmetric information about rare disasters can quantitatively match bidding and yield moments. Counterfactuals reveal substantial effects of asymmetric information on yields.

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不对称信息和主权债务：理论与墨西哥数据的结合

使用来自墨西哥政府债券的歧视性拍卖的投标水平数据，我们证明了有关违约风险的不对称信息是主权债券市场的关键摩擦。我们记录了大型投标人比其他投标人获得更高的投标接受率，尽管没有为已执行的投标支付更多费用。然后，我们提出了一种新的初级市场模型，其中投资者可能在财富、风险厌恶、市场力量和信息方面存在差异。只有不对称信息才能定性地解释我们的经验发现，而关于罕见灾害的不对称信息可以定量地匹配出价和收益时刻。反事实揭示了不对称信息对收益率的重大影响。