Defaultable debt, interest rates and the current account

• 成果类型: Article; Proceedings Paper
• 署名作者: Aguiar, M; Gopinath, G
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston; University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2005.05.005
• 发表日期: 2006
• 页码: 64-83
• 关键词: sovereign debt; default; current account; Interest rates; stochastic trend

摘要

World capital markets have experienced large scale sovereign defaults on a number of occasions. In this paper we develop a quantitative model of debt and default in a small open economy. We use this model to match four empirical regularities regarding emerging markets: defaults occur in equilibrium, interest rates are countercyclical, net exports are countercyclical, and interest rates and the current account are positively correlated. We highlight the role of the stochastic trend in emerging markets, in an otherwise standard model with endogenous default, to match these facts. (c) 2005 Published by Elsevier B.V.