Unique equilibrium in the Eaton-Gersovitz model of sovereign debt

• 成果类型: Article
• 署名作者: Auclert, Adrien; Rognlie, Matthew
• 署名单位: Stanford University; National Bureau of Economic Research; Northwestern University; Princeton University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2016.10.013
• 发表日期: 2016
• 页码: 134-146
• 关键词: sovereign debt; default; multiple equilibria

摘要

A common view of sovereign debt markets is that they are prone to multiple equilibria. We prove that, to the contrary, Markov perfect equilibrium is unique in the widely studied model of Eaton and Gersovitz (1981), and we discuss multiple extensions and limitations of this finding. Our results show that no improvement in a borrower's reputation for repayment can be self-sustaining, thereby strengthening the Bulow and Rogoff (1989) argument that debt cannot be sustained by reputation alone. (C) 2016 Elsevier B.V. All rights reserved.