A fiscal theory of sovereign risk

• 成果类型: Article
• 署名作者: Uribe, Martin
• 署名单位: Duke University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.09.003
• 发表日期: 2006
• 页码: 1587-1605
• 关键词: default; country risk; public debt

摘要

Under certain monetary-fiscal regimes the risk of default and thus the emergence of sovereign risk premiums are inevitable. This paper argues that in this context even small differences in the specification of monetary policy can have enormous effects on the equilibrium behavior of default rates and risk premiums. Under some monetary policy rules studied, the conditional expectation of default rates and sovereign risk premiums are constant, so movements in these variables always arrive as a surprise. Under other monetary regimes considered, the equilibrium default rate and the sovereign risk premium are serially correlated and therefore forecastable. The paper also studies the consequences of delaying default. It characterizes environments under which procrastinating on default is counterproductive. (c) 2006 Elsevier B.V. All rights reserved.