A Macrofinance View of US Sovereign CDS Premiums

• 成果类型: Article
• 署名作者: Chernov, Mikhail; Schmid, Lukas; Schneider, Andres
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of Southern California; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12948
• 发表日期: 2020
• 页码: 2809-2844
• 关键词: economic-growth; credit spreads; Yield spreads; default risk; long-run; monetary; POLICY

摘要

Premiums on U.S. sovereign credit default swaps (CDS) have risen to persistently elevated levels since the financial crisis. We examine whether these premiums reflect the probability of a fiscal default-a state in which a balanced budget can no longer be restored by raising taxes or eroding the real value of debt by increasing inflation. We develop an equilibrium macrofinance model in which the fiscal and monetary policy stances jointly endogenously determine nominal debt, taxes, inflation, and growth. We show that the CDS premiums reflect the endogenous risk-adjusted probabilities of fiscal default. The calibrated model is consistent with elevated levels of CDS premiums but leaves dynamic implications quantitatively unresolved.