Sovereign and private default risks over the business cycle

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2020
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Mellert, Jan
Scholl, Almuth
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Zusammenfassung

Sovereign debt crises are often accompanied by deep recessions with sharp declines in external credit to the private sector. In a sample of emerging economies we find that both, sovereign and private interest rate spreads are countercyclical. This paper presents a model of a small open economy that accounts for these empirical regularities. It includes private firms, which finance a fraction of imports by external debt and are subject to idiosyncratic productivity risk, and a government, which borrows internationally and taxes firms to finance public expenditures. The model gives rise to endogenous private and sovereign interest rate spreads and a dynamic feedback mechanism between sovereign and private default risks through the endogenous response of fiscal policy to adverse productivity shocks.

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330 Wirtschaft
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Sovereign default; Corporate borrowing; Interest rate spreads; Fiscal policy
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ISO 690KAAS, Leo, Jan MELLERT, Almuth SCHOLL, 2020. Sovereign and private default risks over the business cycle. In: Journal of International Economics. Elsevier. 2020, 123, 103293. ISSN 1932-8796. eISSN 1873-0353. Available under: doi: 10.1016/j.jinteco.2020.103293
BibTex
@article{Kaas2020-03Sover-50208,
  year={2020},
  doi={10.1016/j.jinteco.2020.103293},
  title={Sovereign and private default risks over the business cycle},
  volume={123},
  issn={1932-8796},
  journal={Journal of International Economics},
  author={Kaas, Leo and Mellert, Jan and Scholl, Almuth},
  note={Article Number: 103293}
}
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