Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/299460 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
IDB Working Paper Series No. IDB-WP-1542
Verlag: 
Inter-American Development Bank (IDB), Washington, DC
Zusammenfassung: 
This paper proposes a model of sovereign default that features interest rate multiplicity driven by rollover risk. Our core mechanism shows that the possibility of a rollover crisis by itself can lead to high interest rates, which in turn reinforces the rollover risk. By exploiting complementarity between the traditional notions of slow- and fast-moving crises, our model generates a rich simulated dynamics that features frequent defaults and a volatile bond spread even in the absence of shocks to fundamentals. In the presence of risky income, our mechanism amplifies the dynamics of debt and spreads relative to model benchmarks where equilibrium multiplicity relies on the underlying shocks to income.
Schlagwörter: 
Sovereign default
Self-fulfilling crises
JEL: 
E44
F34
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Dokumentart: 
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