The Macroeconomic Consequences of Sovereign and Private Default Risks

纵观历史，发达经济体和新兴经济体都曾遭遇过多次主权债务和金融危机。最近的金融危机导致许多经济体的公共债务急剧增加，这引起了稳定性和可持续性的问题，并导致人们担心可能对私营部门产生不利影响，特别是对私人信贷的提供，从而对投资和经济增长产生不利影响。本研究项目的目的是了解主权和私人违约风险的理论机制和定量含义，以及它们对宏观经济结果的相互作用。为此，我们将债务拒绝在封闭和开放经济的随机动态一般均衡模型。该项目沿着三个主题进行组织。首先，我们分析国际金融机构对需要财政援助的债务国施加的财政条件的动态特性。我们特别感兴趣的是重新谈判条件的作用以及它们如何影响违约风险和宏观经济结果。其次，我们探讨了公共债务对私人企业信贷的可获得性和对异质性企业之间的资本配置的影响，这些异质性企业在财务上受到约束，并可能受到违约风险的影响。我们研究了财政赤字如何传导到私人信贷市场和总要素生产率。第三，我们考虑主权债务和政治不确定性之间的关系，以了解政策制定者如何战略性地利用外债来操纵连任概率，以及这如何影响债务危机和政治危机之间的联系。

Throughout history, advanced and emerging economies have been confronted by a multitude of sovereign debt and financial crises. The dramatic surge in public debt in many economies triggered by the recent financial crisis raises the question of the stability and sustainability and leads to concerns about possible adverse consequences for the private sector, particularly for the availability of private credit and thus for investment and economic growth. The objective of this research project is to understand the theoretical mechanisms and quantitative implications of sovereign and private default risks and their interactions on macroeconomic outcomes. To this end, we incorporate debt repudiation in stochastic dynamic general equilibrium models of closed and open economies. The project is organised along three topics. First, we analyse the dynamic properties of fiscal conditionality imposed by international financial institutions on indebted countries in need of financial assistance. We are especially interested in the role of renegotiations on conditionality and how they affect default risks and macroeconomic outcomes. Second, we explore the effects of public debt on the availability of private firm credit and on the capital allocation among heterogeneous firms who are financially constrained and possibly subject to default risk. We study how fiscal deficits are transmitted to the private credit market and to aggregate factor productivity. Third, we consider the relation between sovereign debt and political uncertainty so as to understand how policymakers make strategic use of external debt to manipulate re-election probabilities and how this affects the connection between debt crises and political crises.