Information Frictions, Reputation, and Sovereign Spreads

• 成果类型: Article
• 署名作者: Morelli, Juan M.; Moretti, Matias
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Rochester
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/724855
• 发表日期: 2023
• 页码: 3066-3102
• 关键词: monetary-policy; business cycles; default risk; debt; COSTS; banks; price; MODEL

摘要

We formulate a reputational model in which the type of government is time varying and private information. Agents adjust their beliefs about the government's type (i.e., reputation) using noisy signals about its policies. We consider a debt repayment setting in which reputation influences the market's perceived probability of default, which affects sovereign spreads. We focus on the 2007-12 Argentine episode of inflation misreport to quantify how markets price reputation. We find that the misreports significantly increased Argentina's sovereign spreads. We use those estimates to discipline our model and show that reputation can have long-lasting effects on a government's borrowing costs.