Publikation: Sovereign and private default risks over the business cycle
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2020
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Journal of International Economics. Elsevier. 2020, 123, 103293. ISSN 1932-8796. eISSN 1873-0353. Available under: doi: 10.1016/j.jinteco.2020.103293
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.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
Sovereign default; Corporate borrowing; Interest rate spreads; Fiscal policy
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KAAS, 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.2020.103293BibTex
@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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