Self-fulfilling debt crises: What can monetary policy do?

• 成果类型: Article
• 署名作者: Bacchetta, Philippe; Perazzi, Elena; van Wincoop, Eric
• 署名单位: University of Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; University of Virginia; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2017.11.004
• 发表日期: 2018
• 页码: 119-134
• 关键词: Debt crisis; -self-fulfilling; monetary policy

摘要

This paper examines the potential for monetary policy to avoid self-fulfilling sovereign debt crises. We combine a version of the slow-moving debt crisis model proposed by Lorenzoni and Werning (2014) with a standard New Keynesian model. Monetary policy could preclude a debt crisis through raising inflation and output and lowering the real interest rate. These reduce the real value of outstanding debt and the cost of new borrowing, and increase tax revenues and seigniorage. We determine the optimal path of inflation required to avoid a self-fulfilling debt crisis. Stronger price rigidity implies more sustained inflation. (C) 2017 Published by Elsevier B.V.