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来源类型Working Paper
规范类型报告
DOI10.3386/w23312
来源IDWorking Paper 23312
Self-Fulfilling Debt Crises, Revisited
Mark Aguiar; Satyajit Chatterjee; Harold Cole; Zachary Stangebye
发表日期2017-04-10
出版年2017
语种英语
摘要We revisit self-fulfilling rollover crises by exploring the potential uncertainty introduced by a gap (however small) between an auction of new debt and the payment of maturing liabilities. It is well known (Cole and Kehoe, 2000) that the lack of commitment at the time of auction to repayment of imminently maturing debt can generate a run on debt, leading to a failed auction and immediate default. We show the same lack of commitment leads to a rich set of possible self-fulfilling crises, including a government that issues more debt because of the crisis, albeit at depressed prices. Another possible outcome is a "sudden stop" (or forced austerity) in which the government sharply curtails debt issuance. Both outcomes stem from the government's incentive to eliminate uncertainty about imminent payments at the time of auction by altering the level of debt issuance. In an otherwise standard quantitative version of the one-period debt model, including such crises increase the default probabilities by a factor of five and the spread volatility by a factor of twenty-five.
主题Macroeconomics ; Fiscal Policy ; International Economics ; International Finance
URLhttps://www.nber.org/papers/w23312
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/580986
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Mark Aguiar,Satyajit Chatterjee,Harold Cole,et al. Self-Fulfilling Debt Crises, Revisited. 2017.
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