G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9635
DP9635 Currency Risk in Currency Unions
Gernot Müller; Alexander Kriwoluzky
发表日期2013-09-08
出版年2013
语种英语
摘要Sovereign yield spreads within currency unions may reflect the risk of outright default. Yet, if exit from the currency union is possible, spreads may also reflect currency risk. In this paper, we develop a New Keynesian model of a small member country of a currency union, allowing both for default within and exit from the union. Initially, the government runs excessive deficits as a result of which it lacks the resources to service the outstanding debt at given prices. We establish two results. First, the initial policy regime is feasible only if market participants expect a regime change to take place at some point, giving rise to default and currency risk. Second, the macroeconomic implications of both sources of risk differ fundamentally. We also analyze the 2009--2012 Greek crisis, using the model to identify the beliefs of market participants regarding regime change. We find that currency risk accounts for about a quarter of Greek yield spreads.
主题International Macroeconomics
关键词Currency risk Currency union Default Euro Exit Fiscal deficits Greek crisis Irreversibility Spreads
URLhttps://cepr.org/publications/dp9635
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/538471
推荐引用方式
GB/T 7714
Gernot Müller,Alexander Kriwoluzky. DP9635 Currency Risk in Currency Unions. 2013.
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