Sovereign risk and belief-driven fluctuations in the euro area

• 成果类型: Article
• 署名作者: Corsetti, Giancarlo; Kuester, Keith; Meier, Andre; Mueller, Gernot J.
• 署名单位: University of Cambridge; University of Bonn; International Monetary Fund
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2013.11.001
• 发表日期: 2014
• 页码: 53-73
• 关键词: Sovereign risk channel; monetary union; euro area; zero lower bound; Risk premium; Pooling of sovereign risk

摘要

Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this sovereign risk channel. The model is calibrated to the euro area as of mid-2012. We show that a combination of sovereign risk in one region and strongly procyclical fiscal policy at the aggregate level exacerbates the risk of belief-driven deflationary downturns. The model provides an argument in favor of coordinated, asymmetric fiscal stances as a way to prevent self-fulfilling debt crises. (C) 2013 International Monetary Fund. Published by Elsevier B.V. All rights reserved.