A Fiscal Theory of Sovereign Risk
A Fiscal Theory of Sovereign Risk
复制标题
主权风险的财政理论
DOI：
10.1016/j.jmoneco.2005.09.003
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发表时间：
2002
期刊：
影响因子：
--
通讯作者：
Martin Uribe
中科院分区：
文献类型：
--
作者：
Martin Uribe
在某些货币-财政体制下，违约风险和主权风险溢价的出现是不可避免的。本文认为，在这种情况下，即使货币政策规范上的微小差异也会对违约率和风险溢价的均衡行为产生巨大影响。根据所研究的一些货币政策规则，违约率和主权风险溢价的条件预期是恒定的，因此这些变量的变动总是出人意料。在其他货币制度下，均衡违约率和主权风险溢价是序列相关的，因此是可预测的。本文还研究了延迟违约的后果。它描述了在默认情况下拖延会适得其反的环境。
Under certain monetary-fiscal regimes the risk of default and thus the emergence of sovereign risk premiums are inevitable. This paper argues that in this context even small differences in the specification of monetary policy can have enormous effects on the equilibrium behavior of default rates and risk premiums. Under some monetary policy rules studied, the conditional expectation of default rates and sovereign risk premiums are constant, so movements in these variables always arrive as a surprise. Under other monetary regimes considered, the equilibrium default rate and the sovereign risk premium are serially correlated and therefore forecastable. The paper also studies the consequences of delaying default. It characterizes environments under which procrastinating on default is counterproductive.