Self-Fulfilling Debt Crises, Revisited

• 成果类型: Article; Early Access
• 署名作者: Aguiar, Mark; Chatterjee, Satyajit; Cole, Harold; Stangebye, Zachary
• 署名单位: Princeton University; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Pennsylvania; University of Notre Dame
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/718934
• 发表日期: 2022
• 关键词: default; equilibrium; maturity; MODEL

摘要

Lack of commitment at the time of auction to repayment of imminently maturing debt can generate a run on debt and immediate default. We show that the same lack of commitment leads to other possible self-fulfilling crises, including issuance of more debt at depressed prices, or a sudden stop (forced austerity) in which debt issuance is sharply curtailed. Both outcomes stem from the government's incentive to eliminate uncertainty about imminent payments at the time of auction by altering the level of debt issuance. These outcomes generate a large increase in spread volatility in both a 1-period and a multiperiod quantitative debt model.