| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23312 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w23312 |
| 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/580986 |
| 推荐引用方式 GB/T 7714 | Mark Aguiar,Satyajit Chatterjee,Harold Cole,et al. Self-Fulfilling Debt Crises, Revisited. 2017. |
| 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 | ||
| w23312.pdf（620KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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