SOVEREIGN DEFAULT, DOMESTIC BANKS AND EXCLUSION FROM INTERNATIONAL CAPITAL MARKETS

• 成果类型: Article
• 署名作者: Thaler, Dominik
• 署名单位: Banco de Espana
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1093/ej/ueaa120
• 发表日期: 2021
• 页码: 1401-1427
• 关键词: debt; RISK; MODEL

摘要

Why do governments borrow internationally? Why do they temporarily remain out of international financial markets after default? This paper develops a quantitative model of sovereign default to propose a unified answer to these questions. In the model, the government has an incentive to borrow internationally since the domestic return on capital exceeds the world interest rate, due to a friction in the banking sector. Since banks are exposed to sovereign debt, sovereign default causes a financial crisis. After default, the government chooses to reaccess international capital markets only once banks have recovered and efficiently allocate investment again. Exclusion hence arises endogenously.