| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11576 |
| DP11576 A Macrofinance View of U.S. Sovereign CDS Premiums | |
| Mikhail Chernov; Lukas Schmid | |
| 发表日期 | 2016-10-17 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Premiums on U.S. sovereign CDS have risen to persistently elevated levels since the financial crisis. In this paper, we ask whether these premiums reflect the probability of a U.S. fiscal default, namely a state in which budget balance can no longer be restored by further raising taxes or eroding the real value of debt by raising inflation. To that end, we develop an equilibrium macrofinance model of the U.S. economy, in which the fiscal and monetary policy stance jointly endogenously determine nominal debt, taxes, inflation and growth. While U.S. CDS cannot be valued using standard replication arguments, we show how in our equilibrium model, CDS premiums reflect endogenous risk adjusted fiscal default probabilities. A calibrated version of the model is quantitatively consistent with high premiums on U.S. sovereign CDS. |
| 主题 | Financial Economics |
| 关键词 | Sovereign default Credit default swaps Recursive preferences |
| URL | https://cepr.org/publications/dp11576 |
| 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/540390 |
| 推荐引用方式 GB/T 7714 | Mikhail Chernov,Lukas Schmid. DP11576 A Macrofinance View of U.S. Sovereign CDS Premiums. 2016. |
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