Monetary Policy and Sovereign Risk in Emerging Economies (NK-Default)*

• 成果类型: Article
• 署名作者: Arellano, Cristina; Bai, Yan; Mihalache, Gabriel
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of Minnesota System; University of Minnesota Twin Cities; University of Rochester; National Bureau of Economic Research; Chinese University of Hong Kong; Centre for Economic Policy Research - UK; University System of Ohio; Ohio State University
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjag012
• 发表日期: 2026
• 关键词: interest-rates; debt; default; price; welfare; crises; rules

摘要

This article develops a New Keynesian model with sovereign default risk. Inflation is set by forward-looking firms, monetary policy is an interest rate rule, and the fiscal government borrows externally, long-term, with an option to default. In this framework, default risk creates inflation pressures through an expectations channel, and tight monetary policy disincentivizes fiscal overborrowing. The model sheds light on temporary inflation events in emerging-market data: short-lived spikes in inflation, spreads, and domestic policy rates. As spreads rise, firms increase their prices in expectation of higher future inflation and low consumption during default. Monetary policy tightens, which reduces inflation and helps bring spreads down by disciplining government borrowing. These monetary-fiscal interactions imply that delivering the flexible-prices allocation may not be optimal for monetary policy.