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作者：Gourio, Francois
作者单位：Boston University; National Bureau of Economic Research
摘要：Credit spreads are large, volatile, and countercyclical, and recent empirical work suggests that risk premia, not expected credit losses, are responsible for these features. Building on the idea that corporate debt, while fairly safe in ordinary recessions, is exposed to economic depressions, this paper embeds a trade-off theory of capital structure into a real business cycle model with a small, exogenously time-varying risk of economic disaster. The model replicates the level, volatility and ...
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作者：Bacchetta, Philippe; Benhima, Kenza; Kalantzis, Yannick
作者单位：University of Lausanne; European Central Bank; Bank of France
摘要：Motivated by the Chinese experience, we analyze an economy where the central bank has access to international capital markets, but the private sector does not. The central bank is modeled as a Ramsey planner who can choose the domestic interest rate and the level of international reserves. Consumers are credit-constrained as in Woodford (1990). We find that a rapidly growing economy has a higher welfare without capital mobility. In the Chinese context, we argue that the domestic interest rate ...
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作者：Nakamura, Emi; Steinsson, Jon; Barro, Robert; Ursua, Jose
作者单位：Columbia University; Columbia University; Harvard University
摘要：We estimate an empirical model of consumption disasters using new data on consumption for 24 countries over more than 100 years, and study its implications for asset prices. The model allows for partial recoveries after disasters that unfold over multiple years. We find that roughly half of the drop in consumption due to disasters is subsequently reversed. Our model generates a sizable equity premium from disaster risk, but one that is substantially smaller than in simpler models. It implies t...
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作者：Cook, David; Devereux, Michael B.
作者单位：Hong Kong University of Science & Technology; University of British Columbia
摘要：This paper analyzes optimal policy responses to a global liquidity trap. The key feature of this environment is that relative prices respond perversely. A fall in demand in one country causes an appreciation of its terms of trade, exacerbating the initial shock. At the zero bound, this country cannot counter this shock. Then it may be optimal for the partner country to raise interest rates. The partner may set a positive policy interest rate, even though its natural interest rate is below zero...
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作者：Cruces, Juan J.; Trebesch, Christoph
作者单位：Universidad Torcuato Di Tella; University of Munich
摘要：A main puzzle in the sovereign debt literature is that defaults have only minor effects on subsequent borrowing costs and access to credit. This paper comes to a different conclusion. We construct the first complete database of investor losses (haircuts) in all restructurings with foreign banks and bondholders from 1970 until 2010, covering 180 cases in 68 countries. We then show that restructurings involving higher haircuts are associated with significantly higher subsequent bond yield spread...
