| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13388 |
| DP13388 Real Interest Rates, Inflation, and Default | |
| Sewon Hur; Illenin Kondo; fabrizio perri | |
| 发表日期 | 2018-12-12 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | This paper argues that the comovement between inflation and economic activity is an important determinant of real interest rates over time and across countries. First, we show that for advanced economies, periods with more procyclical inflation are associated with lower real rates, but only when there is no risk of default on government debt. Second, we present a model of nominal sovereign debt with domestic risk-averse lenders. With procyclical inflation, nominal bonds pay out more in bad times, making them a good hedge against aggregate risk. In the absence of default risk, procyclical inflation yields lower real rates. However, procyclicality implies that the government needs to make larger (real) payments when the economy deteriorates, which could increase default risk and trigger an increase in real rates. The patterns of real rates predicted by the model are quantitatively consistent with those documented in the data. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Inflation risk Government debt Nominal bonds Sovereign default |
| URL | https://cepr.org/publications/dp13388 |
| 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/542199 |
| 推荐引用方式 GB/T 7714 | Sewon Hur,Illenin Kondo,fabrizio perri. DP13388 Real Interest Rates, Inflation, and Default. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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