2023-03-01-美联储-自我实现的债务危机与长期停滞（英）_61页_1mb

Summary

Title: Self-Fulfilling Debt Crises with Long Stagnations
Authors: Joao Ayres, Gaston Navarro, Juan Pablo Nicolini, Pedro Teles
Publication: February 2023, Board of Governors of the Federal Reserve System

This paper examines the quantitative role of expectations-driven sovereign debt crises, focusing on events in Southern Europe (e.g., Spain) and Argentina. The core mechanism—state-dependent multiplicity—stems from Calvo (1988), where high interest rates increase default probabilities, justifying further rate hikes.

Key findings:

• Expectations-driven crises occur only during periods of economic stagnation, due to high persistence in low-growth states (e.g., in Southern Europe).
• Endowment growth processes with persistent high/low regimes are empirically relevant (modeled via Markov-switching regimes).
• Expectations (captured by a sunspot in equilibrium selection) explain differences in default rates and credit spreads between countries like Argentina (higher pessimism) and Spain (higher optimism).
• The model incorporates endogenous austerity and gambling for redemption, where borrowers avoid or increase debt issuance in response to interest rate jumps.

Calibrations for Argentina (South America) and Spain (Europe) show:

• Argentina’s dynamics resemble the 2001 crisis, with low expectations leading to high spreads/default.
• Spain’s model highlights endogenous austerity, keeping high spreads off-equilibrium despite multiplicity.

The paper concludes that expectations are a major driver of debt crises, and lender-of-last-resort policies should consider state-dependence and expectations rather than fundamentals alone.