MONETARY INDEPENDENCE AND ROLLOVER CRISES

• 成果类型: Article
• 署名作者: Bianchi, Javier; Mondragon, Jorge
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjab025
• 发表日期: 2022
• 页码: 435-491
• 关键词: FULFILLING DEBT CRISES; sovereign default; POLICY; maturity; MODEL

摘要

This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nominal rigidities. When the government lacks monetary independence, lenders anticipate that the government would face a severe recession in the event of a liquidity crisis and are therefore more prone to run on government bonds. In a quantitative application to the Eurozone debt crisis, we find that the lack of monetary autonomy played a central role in making Spain vulnerable to a rollover crisis. Finally, we argue that a lender of last resort can go a long way toward reducing the costs of giving up monetary independence.