G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11576
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
URLhttps://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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