On the Optimal Design of a Financial Stability Fund

• 成果类型: Article; Early Access
• 署名作者: Abraham, Arpad; Carceles-Poveda, Eva; Liu, Yan; Marimon, Ramon
• 署名单位: University of Bristol; State University of New York (SUNY) System; Stony Brook University; Sun Yat Sen University; European University Institute; Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; Centre for Economic Policy Research - UK; National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdaf076
• 发表日期: 2025
• 关键词: competitive equilibria; moral hazard; RISK; default; debt; repudiation; INFORMATION; INVESTMENT; AGENCY

摘要

We develop a model of a Financial Stability Fund (the Fund henceforth) for a union of sovereign countries. By design, the contract prevents country defaults, as well as undesired expected losses, which in a union translate into excessive risk mutualizations. A participant country has greater ability to borrow and share risks than using sovereign debt financing. The Fund contract also provides better incentives for the country to reduce endogenous risks. These efficiency gains arise from the ability of the Fund to offer long-term contingent financial contracts, subject to limited enforcement and moral hazard constraints. We develop the theory and quantitatively compare the constrained-efficient Fund economy with an incomplete markets economy with default. We calibrate our economy to the euro area stressed countries in the debt crisis (2010-2). Substantial welfare gains are achieved, particularly in times of crisis. The Fund is, in fact, a risk-sharing, crisis prevention and resolution mechanism, which transforms the participant countries' defaultable sovereign debt into the union's safe assets. In sum, our theory can help to improve current official lending practices and, for example, to eventually design a European Fiscal Fund.