Sovereign defaults and liquidity crises

• 成果类型: Article
• 署名作者: Brutti, Filippo
• 署名单位: University of Zurich; Study Center Gerzensee
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2011.02.001
• 发表日期: 2011
• 页码: 65-72
• 关键词: Legal institutions; liquidity; Sovereign risk; Financial dependence

摘要

Sovereign debt crises in emerging markets are usually associated with liquidity and banking crises. The conventional view is that the domestic turmoil is the consequence of foreign retaliation, although there is no clear empirical evidence on classic default penalties. This paper emphasizes, instead, a direct link between sovereign defaults and liquidity crises building on two natural assumptions: (i) government bonds represent a source of liquidity for the domestic private sector and (ii) the government cannot discriminate between domestic and foreign creditors in the event of default. In this context, external debt emerges even in the absence of classic penalties, and government default is countercyclical, triggers a liquidity crunch, and amplifies output volatility. In addition, a reform that involves a substitution of government bonds with privately-sourced liquidity instruments could backfire by restricting governments' access to foreign credit. (C) 2011 Elsevier B.V. All rights reserved.