利率随时间变化的主权违约问题

Political Economy: Budget Pub Date : 2020-04-25 DOI:10.2139/ssrn.3585667

G. Bloise, Yiannis Vailakis

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引用次数: 1

摘要

我们对阿吉亚尔和阿马多尔进行了扩展和完善(2019)Eaton和Gersovitz(1981)的收缩方法美国的主权债务模式。特别是，我们包含了时变的利率和增长。我们证明，当长期利率超过增长率时，均衡是唯一的，可以通过收缩映射来计算。该方法统一了不同的文献分支，表明收缩性质是先前基于复制的套利论点的反映，受到Bulow和Rogoff(1989)的启发。

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On Sovereign Default With Time-Varying Interest Rates

Abstract We extend and refine Aguiar and Amador (2019) 's contraction approach to Eaton and Gersovitz (1981) 's sovereign debt model. In particular, we encompass time-varying interest rates and growth. We show that, when long-term interest rates exceed growth, equilibrium is unique and can be computed via contraction mapping. The method unifies separate branches of literature, showing that the contraction property is the reflection of previous arbitrage arguments based on replication, inspired by Bulow and Rogoff (1989) .

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来源期刊

Political Economy: Budget

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