Foreign currency debt, risk premia and macroeconomic volatility
Foreign currency debt, risk premia and macroeconomic volatility
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外币债务、风险溢价与宏观经济波动
DOI：
10.1016/j.euroecorev.2010.12.008
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Anton Korinek
中科院分区：
文献类型：
--
作者：
Anton Korinek
本文在一个小型开放的新兴市场经济体模型中研究了外币债务、宏观经济波动和风险溢价之间的关系。当地货币的对外价值是反周期的，因此，外币债务比处于不良状态的当地货币债务需要更多的偿还。因此，以外币计价的债务水平影响总需求的波动，进而影响汇率。汇率波动反过来又是当地货币债务风险溢价的一个重要决定因素。最后，这种风险溢价是新兴市场借款人选择本币还是外币的一个主要因素。外币债务、风险溢价和宏观经济波动的相互内生性在经济中产生了重要的反馈效应：国际风险规避的小幅增加可能会对宏观经济波动产生巨大的放大效应，因为国内借款人转向更便宜但风险更高的外币债务融资。
This paper studies the relationships between foreign currency debt, macroeconomic volatility, and risk premia in a model of a small open emerging market economy. The external value of the local currency is counter-cyclical, so that foreign currency debt requires larger repayments than local currency debt in bad states of nature. The level of foreign currency-denominated debts, therefore, affects the volatility of aggregate demand and by extension of the exchange rate. Exchange rate volatility is in turn an important determinant of the risk premium on local currency debt. Finally, this risk premium is a major factor in the choice of local versus foreign currency for emerging market borrowers. The mutual endogeneity of foreign currency debt, risk premia, and macroeconomic volatility creates important feedback effects in the economy: small increases in international risk aversion may entail large amplification effects on macroeconomic volatility since domestic borrowers substitute towards cheaper but riskier foreign currency debt finance.