Sovereign default, exit and contagion in a monetary union
Sovereign default, exit and contagion in a monetary union
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货币联盟中的主权违约、退出和蔓延
DOI：
10.1016/j.jinteco.2018.02.002
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发表时间：
2018
影响因子：
3.3
通讯作者：
Burak R. Uras
中科院分区：
文献类型：
--
作者：
S. Eijffinger;Michał L. Kobielarz;Burak R. Uras
欧元区主权债务危机的特点是，在2008年希腊债务危机之后，欧洲货币联盟外围国家的借贷成本同时飙升。我们建立了一个小型开放经济体的最优违约和货币联盟退出决策模型。随着希腊可能在不久的将来退出欧元区的消息传来，我们的模型可以解释欧元区主权债券息差的行为。在我们的理论框架中，加入货币联盟需要一个强有力的汇率挂钩，只有当该国退出联盟时才能放弃。退出代价高昂，在第一个国家退出欧盟之前，退出的成本仍不得而知。我们探索的理论机制表明，虽然高预期退出成本可以提高货币联盟的可信度，但当成员国退出的传言出现时，控制退出成本实现的不确定性可能使货币联盟成员国容易出现利率飙升。我们对模型进行了数值求解，并量化了希腊退欧传言类型的冲击可以使先天财政健康的成员国的违约可能性增加三倍。因此，我们的框架为欧元区危机提供了一种新颖且在数量上很重要的解释。
The euro area sovereign debt crisis is characterized by a simultaneous surge in the cost of borrowing for peripheral EMU countries following the Greek debt-trouble in 2008. We develop a model with optimal default and monetary-union exit decisions of a small open economy. Our model can account for the behavior of sovereign bond spreads in the eurozone with the arrival of the news of Greece potentially exiting the euro in the near future. In our theoretical framework, belonging to the monetary-union entails a strong exchange rate peg, which can be abandoned only if the country exits the union. Exit is costly and the cost of exit remains unknown until the first country leaves the union. The theoretical mechanism we explore reveals that while a high expected exit-cost could improve the credibility of a monetary union, uncertainty governing exit-cost realizations could make the monetary-union members prone to surges in interest rates when rumors of a member state exiting arise. We solve the model numerically and quantify that a Grexit-rumors type of shock can triple the default likelihood of an a-priori financially healthy member state. Our framework thus provides a novel and quantitatively important explanation for the eurozone crisis.