Sovereign and private default risks over the business cycle

• 成果类型: Article
• 署名作者: Kaas, Leo; Mellert, Jan; Scholl, Almuth
• 署名单位: Goethe University Frankfurt; Dortmund University of Technology; University of Konstanz
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2020.103293
• 发表日期: 2020
• 关键词: Sovereign default; Corporate borrowing; interest rate spreads; fiscal policy

摘要

Sovereign debt wises are often accompanied by deep recessions with sharp declines in external credit to the private sector. In a sample of emerging economies we find that both, sovereign and Ovate interest rate spreads are counter-cyclical. This paper presents a model of a small open economy that accounts for these empirical regularities. It includes private firms, which finance a fraction of imports by external debt and are subject to idiosyncratic productivity risk. and a government, which borrows internationally and taxes firms to finance public expenditures. The model gives rise to endogenous private and sovereign interest rate spreads and a dynamic feedback mechanism between sovereign and private default risks through the endogenous response of fiscal policy to adverse productivity shocks. (C) 2020 Elsevier B.V. All rights reserved.