The Currency Composition of Sovereign Debt

• 成果类型: Article
• 署名作者: Ottonello, Pablo; Perez, Diego J.
• 署名单位: University of Michigan System; University of Michigan; New York University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20180019
• 发表日期: 2019
• 页码: 174-208
• 关键词: Time consistency; optimal policy; monetary; inflation; maturity; default; DISCRETION; CRISIS; rules; price

摘要

We study the currency composition of sovereign debt in emerging economies through the lens of a model in which the government lacks commitment regarding debt and monetary policy. High levels of debt in local currency give rise to incentives to dilute debt repayment through currency depreciation. Governments tilt the currency composition of debt toward foreign currency to avoid inflationary costs and real exchange rate distortions, at the expense of forgoing the hedging properties of local currency debt. Our quantitative model is used to shed light on the recent dynamics of the currency composition of debt and on its cyclical behavior.