Bubbles and Self-Enforcing Debt

• 成果类型: Article
• 署名作者: Hellwig, Christian; Lorenzoni, Guido
• 署名单位: University of California System; University of California Los Angeles; Centre for Economic Policy Research - UK; Massachusetts Institute of Technology (MIT)
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA6754
• 发表日期: 2009
• 页码: 1137-1164
• 关键词: sovereign debt; sustainable plans; RISK; default; consumption; repudiation; constraints; management; COMMITMENT; EFFICIENCY

摘要

We characterize equilibria with endogenous debt constraints for a general equilibrium economy with limited commitment in which the only consequence of default is losing the ability to borrow in future periods. First, we show that equilibrium debt limits must satisfy a simple condition that allows agents to exactly roll over existing debt period by period. Second, we provide an equivalence result, whereby the resulting set of equilibrium allocations with self-enforcing private debt is equivalent to the allocations that are sustained with unbacked public debt or rational bubbles. In contrast to the classic result by Bulow and Rogoff (1989a), positive levels of debt are sustainable in our environment because the interest rate is sufficiently low to provide repayment incentives.