Rare Disasters, Financial Development, and Sovereign Debt

• 成果类型: Article
• 署名作者: Rebelo, Sergio; Wang, Neng; Yang, Jinqiang
• 署名单位: Northwestern University; National Bureau of Economic Research; Columbia University; Shanghai Institute of International Finance & Economics
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13175
• 发表日期: 2022
• 页码: 2719-2764
• 关键词: capital structure; business cycles; interest-rates; RISK; default; consumption; income; prices; crises; MODEL

摘要

We propose a model of sovereign debt in which countries vary in their level of financial development, defined as the extent to which they can issue debt denominated in domestic currency in international capital markets. We show that low levels of financial development generate the debt intolerance phenomenon that plagues emerging markets: it reduces overall debt capacity, increases credit spreads, and limits the country's ability to smooth consumption.