Government guarantees and self-fulfilling speculative attacks

• 成果类型: Article; Proceedings Paper
• 署名作者: Burnside, C; Eichenbaum, M; Rebelo, S
• 署名单位: Northwestern University; University of Virginia; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Northwestern University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2003.06.002
• 发表日期: 2004
• 页码: 31-63
• 关键词: fixed exchange rate regimes; hedging; Government guarantees; debt denomination

摘要

We develop a model in which government guarantees to banks' foreign creditors are a root cause of self-fulfilling twin banking-currency crises. Absent guarantees, such crises are not possible. In the presence of guarantees banks borrow foreign currency, lend domestic currency and do not hedge the resulting exchange rate risk. With guarantees, banks will also renege on their foreign debts and declare bankruptcy when a devaluation occurs. We assume that the government is unable or unwilling to fully fund the resulting bailout via an explicit fiscal reform. These features of our model imply that government guarantees lead to self-fulfilling banking-currency crises. (C) 2003 Elsevier Inc. All rights reserved.