Sovereign Default, Domestic Banks, and Financial Institutions

• 成果类型: Article
• 署名作者: Gennaioli, Nicola; Martin, Alberto; Rossi, Stefano
• 署名单位: Bocconi University; Bocconi University; Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; Purdue University System; Purdue University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12124
• 发表日期: 2014
• 页码: 819-866
• 关键词: debt; RISK; GLOBALIZATION; credit

摘要

We present a model of sovereign debt in which, contrary to conventional wisdom, government defaults are costly because they destroy the balance sheets of domestic banks. In our model, better financial institutions allow banks to be more leveraged, thereby making them more vulnerable to sovereign defaults. Our predictions: government defaults should lead to declines in private credit, and these declines should be larger in countries where financial institutions are more developed and banks hold more government bonds. In these same countries, government defaults should be less likely. Using a large panel of countries, we find evidence consistent with these predictions.