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Collateral, Liquidity and Debt Sustainability

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2017

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Pichler, Paul

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https://doi.org/10.1111/ecoj.12384
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The Economic Journal. Oxford University Press. 2017, 127(604), pp. 2093-2126. ISSN 0013-0133. eISSN 1468-0297. Available under: doi: 10.1111/ecoj.12384

Zusammenfassung

We study Markov‐perfect optimal fiscal policy in an economy with financial frictions and sovereign default in the form endogenously determined haircuts on outstanding debt. Government bonds facilitate tax smoothing but also provide collateral and liquidity services that mitigate financial frictions. A debt Laffer curve exists, which induces the government to issue bonds to a point where marginal debt has negative welfare effects. Debt positions in the order of magnitude of annual output remain sustainable despite the option to default. When default happens, liquidity on the bond market is impaired, which can trigger extended periods of recurrent haircuts.

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ISO 690NIEMANN, Stefan, Paul PICHLER, 2017. Collateral, Liquidity and Debt Sustainability. In: The Economic Journal. Oxford University Press. 2017, 127(604), pp. 2093-2126. ISSN 0013-0133. eISSN 1468-0297. Available under: doi: 10.1111/ecoj.12384
BibTex
@article{Niemann2017-09-01Colla-49441,
  year={2017},
  doi={10.1111/ecoj.12384},
  title={Collateral, Liquidity and Debt Sustainability},
  number={604},
  volume={127},
  issn={0013-0133},
  journal={The Economic Journal},
  pages={2093--2126},
  author={Niemann, Stefan and Pichler, Paul}
}
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