A Model of Safe Asset Determination

• 成果类型: Article
• 署名作者: He, Zhiguo; Krishnamurthy, Arvind; Milbradt, Konstantin
• 署名单位: University of Chicago; National Bureau of Economic Research; Stanford University; Northwestern University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20160216
• 发表日期: 2019
• 页码: 1230-1262
• 关键词: Global games; debt; equilibrium; COORDINATION; imbalances; liquidity; money

摘要

What makes an asset a safe asset? We study a model where two countries each issue sovereign bonds to satisfy investors' safe asset demands. The countries differ in the float of their bonds and the fundamental resources available to rollover debts. A sovereign's debt is safer if its fundamentals are strong relative to other possible safe assets, not merely strong on an absolute basis. If demand for safe assets is high, a large float enhances safety through. a market depth benefit. If demand for safe assets is low, then large debt size is a negative as rollover risk looms large. (TEL F34, H63)