| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26671 |
| 来源ID | Working Paper 26671 |
| Monetary Policy and Sovereign Risk in Emerging Economies (NK-Default) | |
| Cristina Arellano; Yan Bai; Gabriel P. Mihalache | |
| 发表日期 | 2020-01-20 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper develops a New Keynesian model with sovereign default risk (NK-Default). We focus on the interaction between monetary policy, conducted according to an interest rate rule that targets inflation, and external defaultable debt issued by the government. Monetary policy and default risk interact since both affect domestic consumption, production, and inflation. We find that default risk amplifies monetary frictions and generates a tension for monetary policy, which increases the volatility of inflation and nominal rates. These monetary frictions in turn discipline sovereign borrowing, slowing down debt accumulation and lowering sovereign spreads. Our framework replicates the positive comovements of spreads with nominal domestic rates and inflation, a salient feature of emerging markets data, and can rationalize the experience of Brazil during the 2015 downturn, with high inflation, nominal rates, and spreads. |
| 主题 | Macroeconomics ; Monetary Policy ; International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w26671 |
| 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/584345 |
| 推荐引用方式 GB/T 7714 | Cristina Arellano,Yan Bai,Gabriel P. Mihalache. Monetary Policy and Sovereign Risk in Emerging Economies (NK-Default). 2020. |
| 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 | ||
| w26671.pdf（605KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
