全球智库信息集成服务系统(G2TT): Self-Fulfilling Debt Crises: A Quantitative Analysis

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22694
来源ID	Working Paper 22694
	Self-Fulfilling Debt Crises: A Quantitative Analysis
	Luigi Bocola; Alessandro Dovis
发表日期	2016-10-03
出版年	2016
语种	英语
摘要	This paper uses the information contained in the joint dynamics of government’s debt maturity choices and interest rate spreads to quantify the importance of self-fulfilling expectations in sovereign bond markets. We consider a model of sovereign borrowing featuring endogenous debt maturity, risk averse lenders and self-fulfilling rollover crises á la Cole and Kehoe (2000). In this environment, interest rate spreads are driven by economic fundamentals and by expectations of future self-fulfilling defaults. These two sources of default risk have contrasting implications for the debt maturity choices of the government. Therefore, they can be indirectly inferred by tracking the evolution of the maturity structure of debt during a crisis. We fit the model to the Italian debt crisis of 2008-2012, finding that 12% of the spreads over this episode were due to rollover risk. Our results have implications for the effects of the liquidity provisions established by the European Central Bank during the summer of 2012.
主题	Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w22694
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/580367
推荐引用方式 GB/T 7714	Luigi Bocola,Alessandro Dovis. Self-Fulfilling Debt Crises: A Quantitative Analysis. 2016.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w22694.pdf（760KB）	智库出版物		限制开放	CC BY-NC-SA	浏览