Résultats de recherche
Creator: Gertler, Mark and Rogoff, Kenneth S. Series: International perspectives on debt, growth, and business cycles Abstract:
Across developing countries, capital market inefficiencies tend to decrease and external borrowing tends to sharply increase as national wealth rises. We construct a simple model of intertemporal trade under asymmetric information which provides a coherent explanation of both these phenomenon, without appealing to imperfect capital mobility. The model can be applied to a number of policy issues in LDC lending, including the debt overhang problem, and the impact of government guarantees of private debt to foreign creditors. In the two-country general equilibrium version of the model, an increase in wealth in the rich country can induce a decline in investment in the poor country via a "siphoning effect". Finally, we present some new empirical evidence regarding the link between LDC borrowing and per capita income.
Assujettir: F43 - Economic Growth of Open Economies and O11 - Macroeconomic Analyses of Economic Development
Creator: Kehoe, Timothy Jerome, 1953- and Ruhl, Kim J. Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 414 Abstract:
A sudden stop of capital flows into a developing country tends to be followed by a rapid switch from trade deficits to surpluses, a depreciation of the real exchange rate, and decreases in output and total factor productivity. Substantial reallocation takes place from the nontraded sector to the traded sector. We construct a multisector growth model, calibrate it to the Mexican economy, and use it to analyze Mexico's 1994–95 crisis. When subjected to a sudden stop, the model accounts for the trade balance reversal and the real exchange rate depreciation, but it cannot account for the decreases in GDP and TFP. Extending the model to include labor frictions and variable capital utilization, we still find that it cannot quantitatively account for the dynamics of output and productivity without losing the ability to account for the movements of other variables.
Mot-clé: Developing country crisis, Real exchange rate, Sudden stop, Mexico, Nontradable, Tradable, and Total factor productivity Assujettir: E21 - Macroeconomics: Consumption; Saving; Wealth, F21 - International Investment; Long-term Capital Movements, F32 - Current Account Adjustment; Short-term Capital Movements, F34 - International Lending and Debt Problems, O54 - Economywide Country Studies: Latin America; Caribbean, O41 - One, Two, and Multisector Growth Models, F43 - Economic Growth of Open Economies, and O47 - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
Creator: Aguiar, Mark, Amador, Manuel, Farhi, Emmanuel, and Gopinath, Gita, 1971- Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 511 Abstract:
We study fiscal and monetary policy in a monetary union with the potential for rollover crises in sovereign debt markets. Member-country fiscal authorities lack commitment to repay their debt and choose fiscal policy independently. A common monetary authority chooses inflation for the union, also without commitment. We first describe the existence of a fiscal externality that arises in the presence of limited commitment and leads countries to over-borrow; this externality rationalizes the imposition of debt ceilings in a monetary union. We then investigate the impact of the composition of debt in a monetary union, that is the fraction of high-debt versus low-debt members, on the occurrence of self-fulfilling debt crises. We demonstrate that a high-debt country may be less vulnerable to crises and have higher welfare when it belongs to a union with an intermediate mix of high- and low-debt members, than one where all other members are low-debt. This contrasts with the conventional wisdom that all countries should prefer a union with low-debt members, as such a union can credibly deliver low inflation. These findings shed new light on the criteria for an optimal currency area in the presence of rollover crises.
Mot-clé: Coordination failures, Fiscal policy , Debt crisis, and Monetary union Assujettir: F30 - International Finance: General, E50 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General, F40 - Macroeconomic Aspects of International Trade and Finance: General, and E40 - Money and Interest Rates: General
Creator: Arellano, Cristina and Bai, Yan Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 491 Abstract:
We develop a multicountry model in which default in one country triggers default in other countries. Countries are linked to one another by borrowing from and renegotiating with common lenders. Countries default together because by doing so they can renegotiate the debt simultaneously and pay lower recoveries. Defaulting is also attractive in response to foreign defaults because the cost of rolling over the debt is higher when other countries default. Such forces are quantitatively important for generating a positive correlation of spreads and joint incidence of default. The model can rationalize some of the recent economic events in Europe as well as the historical patterns of defaults, renegotiations, and recoveries across countries.
Mot-clé: Sovereign default, Contagion, Renegotiation, European debt crisis, and Self-fulfilling crisis Assujettir: F30 - International Finance: General and G01 - Financial Crises
Creator: Da-Rocha, Jose-Maria, Giménez Fernández, Eduardo Luís, and Lores Insua, Francisco Xavier Series: Advances in dynamic economics Abstract:
In this paper we will consider a simple small open economy with three assets - domestic capital, foreign securities and public debt - to study the government's incentives to devalue and to repay or default the debt. We show that the announcement of a devaluation is anticipated by domestic agents who reduce domestic investments and increase foreign holdings. Once a government devalues, the expectations vanish and the economy recovers its past levels of investment and GDP. However, in a country with international debt denominated in US dollars if a government devalues it requires a higher fraction of GDP to repay its external debt. In consequence, there exists a trade-off between recovering the economy and increasing the future cost of repaying the debt. Our main result is to show that, as devaluation beliefs exists, a devaluation increase government incentives to default and devalue. We calibrate our model to match the decrease in investment of domestic capital, the reduction in production, the increase in trade balance surplus, and the increase in debt levels observed throughout 2001 in Argentina. We show that for a probability of devaluation consistent with the risk premium of the Argentinian Government bonds nominated in dollars issued on April 2001 the external debt of Argentina was in a crisis zone were the government find optimal to default and to devalue.
Mot-clé: Devaluation, Argentina, Latin America, South America, Default, and Debt crisis Assujettir: F34 - International finance - International lending and debt problems, E60 - Macroeconomic policy, macroeconomic aspects of public finance, and general outlook - General, and F30 - International finance - General
Creator: Arellano, Cristina, Bai, Yan, and Lizarazo, Sandra Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 559 Abstract:
We develop a theory of sovereign risk contagion based on financial links. In our multi-country model, sovereign bond spreads comove because default in one country can trigger default in other countries. Countries are linked because they borrow, default, and renegotiate with common lenders, and the bond price and recovery schedules for each country depend on the choices of other countries. A foreign default increases the lenders' pricing kernel, which makes home borrowing more expensive and can induce a home default. Countries also default together because by doing so they can renegotiate the debt simultaneously and pay lower recoveries. We apply our model to the 2012 debt crises of Italy and Spain and show that it can replicate the time path of spreads during the crises. In a counterfactual exercise, we find that the debt crisis in Spain (Italy) can account for one-half (one-third) of the increase in the bond spreads of Italy (Spain).
Mot-clé: Sovereign default, Bond spreads, Renegotiation, and European debt crisis Assujettir: F30 - International Finance: General and G01 - Financial Crises
Creator: Conesa, Juan Carlos and Kehoe, Timothy Jerome, 1953- Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 497 Abstract:
In January 1995, U.S. President Bill Clinton organized a bailout for Mexico that imposed penalty interest rates and induced the Mexican government to reduce its debt, ending the debt crisis. Can the Troika (European Commission, European Central Bank, and International Monetary Fund) organize similar bailouts for the troubled countries in the Eurozone? Our analysis suggests that debt levels are so high that bailouts with penalty interest rates could induce the Eurozone governments to default rather than reduce their debt. A resumption of economic growth is one of the few ways that the Eurozone crises can end.
Mot-clé: Sovereign debt, Bailout, Collateral, and Penalty interest rate Assujettir: F34 - International Lending and Debt Problems, G01 - Financial Crises, and F53 - International Agreements and Observance; International Organizations
Creator: Fernández de Córdoba, Gonzalo, 1966- and Kehoe, Timothy Jerome, 1953- Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 421 Abstract:
Studying the experience of countries that have experienced great depressions during the twentieth century teaches us that massive public interventions in the economy to maintain employment and investment during a financial crisis can, if they distort incentives enough, lead to a great depression.
Creator: Cole, Harold Linh, 1957- and Kehoe, Timothy Jerome, 1953- Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 210 Abstract:
This paper explores the extent to which the Mexican government's inability to roll over its debt during December 1994 and January 1995 can be modeled as a self-fulfilling debt crisis. In the model there is a crucial interval of debt for which the government, although it finds it optimal to repay old debt if it can sell new debt, finds it optimal to default if it cannot sell new debt. If government debt is in this interval, which we call the crisis zone, then we can construct equilibria in which a crisis can occur stochastically, depending on the realization of a sunspot variable. The size of this zone depends on the average length of maturity of government debt. Our analysis suggests that for a country, like Mexico, with a very short maturity structure of debt, the crisis zone is large and includes levels of debt as low as that in Mexico before the crisis.
Mot-clé: Mexico, Sunspot, and Debt crisis Assujettir: F34 - International Lending and Debt Problems, E60 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General, and H63 - National Debt; Debt Management; Sovereign Debt
Creator: Lagakos, David P. Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 428 Abstract:
I document that cross-country productivity differences in retail trade, which employs around 20% of workers, are accounted for in large part by compositional differences. In richer countries, most retailing is done in modern stores, with high measured output per worker, whereas in developing countries, retail trade is dominated by less-productive traditional stores. I hypothesize that developing countries rationally adopt few modern stores since car ownership rates are low. A simple quantitative model of home production supports the role of cars in determining the composition of retail technologies used and retail-sector productivity differences across countries.
Mot-clé: Productivity differences, Technology adoption, and Retail trade Assujettir: O11 - Macroeconomic Analyses of Economic Development, L81 - Retail and Wholesale Trade; e-Commerce, O33 - Technological Change: Choices and Consequences; Diffusion Processes, and O47 - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence