Sovereign default: The role of expectations

• 成果类型: Article
• 署名作者: Ayres, Joao; Navarro, Gaston; Nicolini, Juan Pablo; Teles, Pedro
• 署名单位: Inter-American Development Bank; Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Universidad Torcuato Di Tella; Banco de Portugal; Universidade Catolica Portuguesa; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2018.02.006
• 发表日期: 2018
• 页码: 803-812
• 关键词: Sovereign default; multiple equilibria; Good and bad times

摘要

In the standard model of sovereign default, as in Aguiar and Gopinath (2006) or Arellano (2008), default is driven by fundamentals alone. There is no independent role for expectations. We show that small variations of that model are consistent with multiple interest rate equilibria, similar to the ones found in Calvo (1988). For distributions of output that are commonly used in the literature, the high interest rate equilibria have properties that make them fragile. Once output is drawn from a distribution with both good and bad times, however, it is possible to have robust high interest rate equilibria. (C) 2018 Elsevier Inc. All rights reserved.