Banks, Sovereign Debt, and the International Transmission of Business Cycles

Luca Guerrieri, Matteo Iacoviello, R. Minetti
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引用次数: 19

Abstract

This paper studies the international propagation of sovereign debt default. We posit a two-country economy where capital constrained banks grant loans to firms and invest in bonds issued by the domestic and the foreign government. The model economy is calibrated to data from Europe, with the two countries representing the Periphery (Greece, Italy, Portugal and Spain) and the Core, respectively. Large contractionary shocks in the Periphery trigger sovereign default. We find sizable spillover effects of default from Periphery to the Core through a drop in the volume of credit extended by the banking sector.
银行、主权债务和商业周期的国际传导
本文研究主权债务违约的国际传播。我们假设一个两国经济,资本受限的银行向企业发放贷款,并投资于国内和外国政府发行的债券。模型经济根据欧洲的数据进行校准,这两个国家分别代表外围国家(希腊、意大利、葡萄牙和西班牙)和核心国家。外围国家的大规模收缩冲击会引发主权违约。我们发现,通过银行业信贷规模的下降,违约从外围国家向核心国家产生了相当大的溢出效应。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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