Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy

• 成果类型: Article
• 署名作者: Du, Wenxin; Pflueger, Carolin E.; Schreger, Jesse
• 署名单位: University of Chicago; National Bureau of Economic Research; Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12965
• 发表日期: 2020
• 页码: 3097-3138
• 关键词: default risk; NOMINAL DEBT; long-run; inflation; determinants; premia; burden; rates; STOCK; price

摘要

We document that governments whose local currency debt provides them with greater hedging benefits actually borrow more in foreign currency. We introduce two features into a government's debt portfolio choice problem to explain this finding: risk-averse lenders and lack of monetary policy commitment. A government without commitment chooses excessively countercyclical inflation ex post, which leads risk-averse lenders to require a risk premium ex ante. This makes local currency debt too expensive from the government's perspective and thereby discourages the government from borrowing in its own currency.