The Currency Composition of Sovereign Debt
The Currency Composition of Sovereign Debt
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主权债务的货币构成
DOI：
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发表时间：
2019
期刊：
影响因子：
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通讯作者：
Pablo Ottonello
中科院分区：
文献类型：
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作者：
D. Perez;Pablo Ottonello
我们通过一个模型来研究新兴经济体主权债务的货币构成，在这个模型中，政府在债务和货币政策方面缺乏承诺。以当地货币计价的高水平债务导致了通过货币贬值稀释债务偿还的动机。各国政府将债务的货币构成向外币倾斜，以避免通胀成本和实际汇率扭曲，代价是放弃本币债务的对冲特性。我们的量化模型被用来阐明债务货币构成的近期动态及其周期性行为。(Jel E31、E32、E52、F34、H63)
We study the currency composition of sovereign debt in emerging economies through the lens of a model in which the government lacks commitment regarding debt and monetary policy. High levels of debt in local currency give rise to incentives to dilute debt repayment through currency depreciation. Governments tilt the currency composition of debt toward foreign currency to avoid inflationary costs and real exchange rate distortions, at the expense of forgoing the hedging properties of local currency debt. Our quantitative model is used to shed light on the recent dynamics of the currency composition of debt and on its cyclical behavior. (JEL E31, E32, E52, F34, H63)