Self-fulfilling debt crises

• 成果类型: Article
• 署名作者: Cole, HL; Kehoe, TJ
• 署名单位: Federal Reserve System - USA; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1111/1467-937X.00123
• 发表日期: 2000
• 页码: 91-116
• 关键词: maturity; POLICY; MODEL

摘要

We characterize the values of government debt and the debt's maturity structure under which financial crises brought on by a loss of confidence in the government can arise within a dynamic, stochastic general equilibrium model. We also characterize the optimal policy response of the government to the threat of such a crisis. We show that when the country's fundamentals place it inside the crisis zone, the government may be motivated to reduce its debt and exit the crisis zone because this leads to an economic boom and a reduction in the interest rate on the government's debt. We show that this reduction can be gradual if debt is high or the probability of a crisis Is low. We also show that, while lengthening the maturity of the debt can shrink the crisis zone, credibility-inducing policies can have perverse effects.