Household Debt Revaluation and the Real Economy: Evidence from a Foreign Currency Debt Crisis

• 成果类型: Article
• 署名作者: Verner, Emil; Gyongyosi, Gyozo
• 署名单位: Massachusetts Institute of Technology (MIT); Leibniz Association; Institut fur Weltwirtschaft an der Universitat Kiel (IFW)
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20181585
• 发表日期: 2020
• 页码: 2667-2702
• 关键词: BALANCE SHEETS; liquidity trap; sudden stops; dollar debt; consumption; POLICY; rates; FIRMS

摘要

We examine the consequences of a sudden increase in household debt burdens by exploiting variation in exposure to household foreign currency debt during Hungary's late-2008 currency crisis. The revaluation of debt burdens causes higher default rates and a collapse in spending. These responses lead to a worse local recession, driven by a decline in local demand, and negative spillover effects on nearby borrowers without foreign currency debt. The estimates translate into an output multiplier on higher debt service of 1.67. The impact of debt revaluation is particularly severe when foreign currency debt is concentrated on household, rather than firm, balance sheets.