Sovereign defaults and banking crises

• 成果类型: Article
• 署名作者: Sosa-Padilla, Cesar
• 署名单位: University of Notre Dame
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.07.004
• 发表日期: 2018
• 页码: 88-105
• 关键词: Sovereign default; Banking crisis; Credit crunch; Endogenous cost of default; Bank exposure to sovereign debt

摘要

Sovereign defaults feature three key empirical regularities regarding the domestic banking systems: (i) defaults and banking crises happen together, (ii) banks are largely exposed to government debt, (iii) defaults trigger major contractions in bank credit and production. We rationalize these phenomena by extending a traditional default framework to incorporate bankers who lend to both government and firms. When bankers are exposed to government debt, a default generates a banking crisis, which triggers collapses in corporate credit and output. Calibrated to the 2001-02 Argentine default, the model produces equilibrium crises at observed frequencies, sharp credit contractions, and output drops of 7%. (C) 2018 Elsevier B.V. All rights reserved.