G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8358
DP8358 Sovereign Default Risk and Bank Fragility in Financially Integrated Economies
Patrick Bolton; Olivier Jeanne
发表日期2011-04-01
出版年2011
语种英语
摘要We analyze contagious sovereign debt crises in financially integrated economies. Under financial integration banks optimally diversify their holdings of sovereign debt in an effort to minimize the costs with respect to an individual country's sovereign debt default. While diversification generates risk diversification benefits ex ante, it also generates contagion ex post. We show that financial integration without fiscal integration results in an inefficient equilibrium supply of government debt. The safest governments inefficiently restrict the amount of high quality debt that could be used as collateral in the financial system and the riskiest governments issue too much debt, as they do not take account of the costs of contagion. Those inefficiencies can be removed by various forms of fiscal integration, but fiscal integration typically reduce the welfare of the country that provides the "safe-haven" asset below the autarky level.
主题Financial Economics ; International Macroeconomics
关键词Banking Collateral European debt crisis European monetary union Financial contagion Government debt Government default International financial integration
URLhttps://cepr.org/publications/dp8358
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/537185
推荐引用方式
GB/T 7714
Patrick Bolton,Olivier Jeanne. DP8358 Sovereign Default Risk and Bank Fragility in Financially Integrated Economies. 2011.
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