Fiscal Imbalances, Inflation and Sovereign Default Dynamics

Autores/as

  • Ramiro Sosa Navarro Université d'Évry

Palabras clave:

Riesgo soberano prima, incumplimiento, desequilibrios fiscales

Resumen

La cuestión central que este artículo busca responder es como la política monetaria puede afectar el comportamiento de equilibrio de primas por riesgo soberano y cesación de pagos. El artículo se basa en el modelo de “una-tasa-interés”. La deuda pública se hace riesgosa a causa de una política fiscal activa, como en Uribe (2006), reflejando la habilidad limitada de la autoridad fiscal para controlar el superávit primario. El problema de insolvencia es debido a una oleada de mala suerte (shocks negativos que afectan el superávit primario). Pero en contraste a los resultados de Uribe, a medida que aumenta el costo de la deuda soberana (que resulta de un excedente primario débil), la cesación de pagos se anticipa y es reflejada por una creciente prima de riesgo en el país y una probabilidad de cesación de pagos. La cesación de pagos se define como un incumplimiento de un acuerdo contractual y por ende la decisión es tomada por la autoridad fiscal. Mientras tanto, objetivos conflictivos entre la autoridad monetaria y fiscal juegan un rol importante en llevar a la autoridad fiscal a la cesación de pagos sobre sus pasivos. La característica de la política del gobierno necesaria para restaurar el equilibrio después de la cesación de pagos también es analizada.

Descargas

Los datos de descargas todavía no están disponibles.

Citas

Aghion, P., A. Banerjee and T. Piketty (1999). “Dualism and macroeconomic volatility”, Quarterly Journal of Economics, Vol. 114, No 4, p. 1359-97.

Altman, E. and B. Pasternack (2006). “Defaults and Returns in the High Yield Bond Market”, Journal of Applied Research in Accounting and Finance (JARAF), Vol. 1 No. 1, pp. 3-29.

Altman, E., A. Resti and A. Sironi (2004). “Default Recovery Rate in Credit Risk Modeling: A Review of the Literature and Empirical Evidence”, Economic Notes by Banca dei Monte dei Paschi di Siena, Vol. 33.

Arena, M., C. Reinhart and F. Vázquez (2007). “The Lending Channel in Emerging Economies: Are Foreign Banks Different?”, Working Paper, No. 48, International Monetary Fund, Washington, DC.

Barajas, A. and R. Steiner (2002). “Credit stagnation in Latin America”, Working Paper No. 53, International Monetary Fund, Washington D.C.

Barajas, A., R. Steiner and N. Salazar (2000). “Foreign investment in Colombia’s financial sector”, in Stijn Claessens and Marion Jansen (Eds), The internationalization of financial services: Issues and lessons for developing countries, Boston.

Barro R.J. (1974). “Are Government Bonds Net Wealth?” The Journal of Political Economy, Vol. 82, No. 6, pp. 1095-1117.

Berger, A., L. Klapper and G. Undell (2001). “The Ability of Banks to lend to Informationally Opaque Small Businesses”, Journal of Banking and Finance, Vol. 25, pp. 2127-2167.

Bhanot, K. (1998). “Recovery and Implied Default Brady bonds”, The Journal of Fix Income, Vol. 14, No. 1, pp. 47 --51.

Biuter, W. (1999). “The Fallacy of the Fiscal Theory of the Price Level”, NBER Working Paper No. W7302.

Biuter, W. (2001). “The Fallacy of the Fiscal Theory of the Price Level, Again”, Bank of England Working Paper Series No. 141.

Biuter, W. (2002). “The Fiscal Theory of the Price Level: A Critique”, The Economic Journal, Vol. 112, pp. 459-480.

Black, F. and Scholes, M. (1973). “The Pricing of Options and Corporate Liabilities”, Journal of Political Economics, Vol. 81, No. 3, pp. 637-654.

Boyd, J.H. and G. de Nicoló (2005). “The Theory of Bank Risk-Taking and Competition Revisited”, Journal of Finance, Vol. 60, No. 3, pp. 1329-43.

Breitung, J. and M.H. Pesaran (2006). “Unit Roots and Cointegration in Panels”, in L. Matyas and P. Sevestre (Eds.), The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice, Kluwer Academic Publishers, forthcoming.

Breusch, T.S. and A.R. Pagan (1980). “The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics”, Review of Economic Studies, Vol. 47, No. 1, pp. 239-53.

Buch, C. (2000). “Why Do Banks Go Abroad? Evidence from German Data”, Financial Markets, Institutions and Instruments, Vol. 9, No. 1, pp. 33-67.

Calvo, G. and C. Reinhart (2002). “Fear of Floating”, Quarterly Journal of Economics Vol. 117, pp. 379-408.

Calvo, G.A. and F. Coricelli (1993). “Output collapse in Eastern Europe: the role of credit”, IMF Staff Reports, Vol. 40, pp. 32-52.

Caprio, G., D. Klingebiel, L. Laeven and G. Noguera (2005). “Banking Crisis Database”, in P. Honohan and L. Laeven (Eds.), Systemic Financial Crises, Cambridge University Press, Cambridge.

Carstens, A., D. Hardy and C. Pazarbasioglu (2004). “Avoiding Banking Crises in Latin America”, Finance & Development, September Issue, pp. 30-33.

Choi, I. (2001). “Unit Root Tests for Panel Data”, Journal of International Money and Banking, Vol. 20, pp. 249-72.

Claessens, S. and M. Jansen (2000). “The Internationalization of Financial Services: Issues and Lessons for Developing Countries”, Boston, Mass.: Kluwer Academic Press.

Clarida R., J. Gal and M. Gertler (1998). “Monetary Rules in Practice: Some International Evidences”, Working Paper No. 6254 NBER.

Clarida, R., G. Jordi and M. Gertler (2000). “Monetary Policy Rules and Macroeconomics Stability: Evidence and Some Theory”,Quarterly Journal of Economics, MIT Press, vol. 115(1), pages 147-180.

Cochrane, J. H. (1999). “Portfolio advice of a multifactor world,” Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 59-78.

Corvoisier, S. and R. Gropp (2002). “Bank Concentration and Retail Interest Rates”, Journal of Banking and Finance, Vol. 26, No. 11, pp. 2155-89.

Cowan, K., E. Levy-Yeyati, U. Panizza and F. Sturzenegger, (2006). “Sovereign Debt in the Americas: New Data and Stylized Facts,” Public Debt in Americas. Working Papers 577, Inter-American Development Bank, Washington D.C.

Crystal, J., G. Dages and L. Goldberg (2002). “Has Foreign Bank Entry Led to Sounder Banks in Latin America?”, Current Issues in Economics and Finance, Federal Reserve Bank of New York, Vol. 8, No. 1.

Dages, B.G, L.S. Goldberg and D. Kinney (2000). “Foreign and Domestic Bank Participation in Emerging Markets: Lessons from Mexico and Argentina”, Economic Policy Review, September Issue, pp. 17-36, Federal Reserve Bank of New York, NY.

Dages, G., L. Goldberg and D. Kinney (2000). “Foreign and Domestic Bank Participation in Emerging Markets: Lessons from Mexico and Argentina”, Policy Review Vol. 6, No. 3, pp. 17--36, Federal Reserve Bank of New York Economic.

Dahl, D. and R. Shrieves (1999). “The Extension of International Credit by U.S. Banks: A Disaggregated Analysis, 1988-1994”, Journal of International Money and Finance, Vol. 18, pp. 153-167.

de Haas, R.T. (2006). “Monitoring Costs and Multinational-Bank Lending”, DNB Working Paper No. 88, De Nederlandsche Bank, Amsterdam.

de Haas, R.T. and I.P. van Lelyveld (2004). “Foreign bank penetration and private sector credit in Central and eastern Europe”, Journal of Emerging Market Finance, Vol. 3(2), pp. 125-151.

de Haas, R.T. and I.P. van Lelyveld (2006). “Foreign Banks and Credit Stability in Central and Eastern Europe: A Panel Data Analysis”, Journal of Banking and Finance, Vol. 30, No. 7, pp. 1927-52.

Demirgüç-Kunt, A., L. Laeven and R. Levine (2003). “The Impact of Bank Regulations, Concentration, and Institutions on Bank Margins”, Policy Research Working Paper, No. 3030, World Bank, Washington, DC.

Demirgüç-Kunt, A., R. Levine and H.G. Min (1998). “Opening to foreign banks: issues of stability, efficiency and growth”, in Seongtae Lee (Eds.), The Implications of Globalization of World Financial Markets, Seúl, Banco de Corea.

Denizer, C., M. Iyigun and A. Owen (2002). “Finance and Macroeconomic Volatility”, Contributions to Macroeconomics, Vol. 2, No. 1, Berkeley Electronic Press, Berkeley, CA.

Detragiache, E. and P. Gupta (2004). “Foreign banks in emerging market crises: evidence from Malaysia”, IMF Working Paper, Washington D.C.

Detragiache, E. and P. Gupta (2006). “Foreign Banks in Emerging Market Crises: Evidence from Malaysia”, Journal of Financial Stability, Vol. 2, No. 3, pp. 217-42.

Detragiache, E., T. Tressel and P. Gupta (2006). “Foreign banks in poor countries: Theory and evidence”, IMF Working Paper No. 18.

Dewatripoint, M. and E. Maskin (1995). “Credit Efficiency in Centralized and Decentralized Economies”, Review of Economic Studies, Vol. 62, No. 4, pp. 541-556.

Diamond, D. W. (1984).“Financial Intermediation and Delegated Monitoring”, The Review of Economic Studies, Vol. 51, No. 3, pp. 393-414.

Dornbusch R., F. Sturzenegger and H.C. Wolf (1991). “Extreme Inflation: Dynamics and Stabilization”, NBER Working Paper No. R1584.

Dornbusch, R. (1983). “Real Interest Rates, Home Goods, and Optimal External Borrowing”, Journal of Political Economy, Vol. 91, No. 1, pp. 141-53.

Duffie, D. (1998). “Defaultable Term Structure Models with Fractional Recovery of Par”, Unpublished manuscript, Graduate School of Business, Stanford University.

Duffie, D. and K.J. Singleton (1999). “Modeling the Term Structures of Defaultable Bonds”, Review of Financial Studies, Vol. 12, No. 4, pp. 687-720.

Duffie, D. and K.J., Singleton (1999). “Simulating Correlated Defaults”, Unpublished manuscript, Graduate School of Business, Stanford University.

Elmendorf, D. and N.G. Mankiw (1999). “Government Debt,” in Handbook of Macroeconomics, edited by J.B. Taylor and M. Woodford, Eslevier Science B.V., pp. 1615-1669.

Escudé, G., T. Burdisso, M. Catena, L. D’Amato, G. McCandless and T.E. Murphy (2001). “Las MIP y MES y el mercado de crédito en la Argentina”, Documento de Trabajo No. 15, Banco Central de la Republica Argentina, Buenos Aires.

Evanoff, D. and E. Ors (2002). “Local Market Consolidation and Bank Productive Efficiency”, Working Paper, No. 25, Federal Reserve Bank of Chicago, Chicago, IL.

Fons, J. (1987). “The default premium and corporate bond experience”, The Journal of Finance, Vol. 42, No. 1, pp. 81-97.

Frankel, J.A. and A.K. Rose (1996). “Currency Crashes in Emerging Markets: Empirical Indicators”, Discussion Paper, No. 1349, Centre for Economic Policy Research, London.

Galindo, A., A. Micco and A. Powell (2004). “Loyal Lenders or Fickle Financiers: Foreign Banks in Latin America”, Working Paper 08-2004, Universidad Di Tella.

Galindo, A., A. Micco and A. Powell (2005). “Loyal lenders or fickle financiers: Foreign banks in Latin America”, Working Paper No. 529, Inter-American Development Bank, Washington D.C.

Giannetti, M.A. and Ongena (2005). “Financial integration and entrepreneurial activity: Evidence from foreign bank entry in emerging markets”, Working Paper Series No. 498, European Central Bank.

Goldberg, L.S (2001). “When is US bank lending to emerging market volatile?”, NBER Working Paper No. 8209, National Bureau of Economic Research, Cambridge, MA.

Goldberg, L.S. (2002). “When is U.S. Bank Lending to Emerging Markets Volatile?”, Working Paper, No. 8209, National Bureau of Economic Research, Cambridge, MA.

Goldberg, L.S. (2007). “Financial Sector FDI and Host Countries: New and Old Lessons”, Economic Policy Review, Vol. 13, No. 1, pp. 1-17.

Haouat, M., D.N. Moccero and R.S. Navarro (2006). “Foreign Banks and Economic Stability in Emerging Countries: A Theoretical and Empirical Survey”, mimeo, Université d’Evry val d’Essonne.

Haouat, M., D.N. Moccero and R.S. Navarro (2008). “Foreign Banks and Credit Volatility: The Case of Latin American Countries”, Working Paper No. 61 , The Working Paper Series at The American University of Paris, published and sponsored by the Trustee Fund for the Advancement

of Scholarship (TFAS).

Hausmann, R., U. Panizza and E. Stein (2001). “Why Do Countries Float the Way They Float?” Journal of Development Economics, Vol. 66, pp.387-414.

Hernandez, L. and H. Rudolph (1995). “Sustainability of private capital flows to developing countries-is a generalised reversal likely?”, Working Paper No. 1518, World Bank Policy Research, World Bank, Washington D.C.

Holmström, B. and J. Tirole (1997). “Financial Intermediation, Loanable Funds, and the Real Sector”, Quarterly Journal of Economics, Vol. 112, No. 3, pp. 663-691.

IADB (2005). “Unlocking Credit: The Quest for Deep and Stable Bank Lending”, Economic and Social Progress Report

IADB (2007). “Living with Debt: How to Limit the Risk of Sovereign Finance”, Economic and Social Progress Report.

Im, K., M.H. Pesaran and Y. Shin (2003). “Testing for Unit Roots in Heterogeneous Panels”, Journal of Econometrics, Vol. 115, pp 53-74.

Jarrow, R.A. and S.M. Turnbull (1995). “Pricing Derivatives on Financial Securities Subject to Credit Risk”, Journal of Finance, Vol. 50, No. 1, pp. 53-85.

Jarrow, R.A., D. Lando, and S.M. Turnbul (1997). “A Markov Model for the Term Structure of Credit Risk Spreads”, The Review of Financial Studies, Vol. 10, No. 2, pp. 481-523.

Jenneau, S. and M. Micu (2002). “Determinants of international bank lending to emerging market countries”, BIS Working Paper No. 112, Bank of International Settlements, Basel.

Kiyotaki, N. and J. Moore (1993). “Credit Cycles”, mimeo, London Scholl of Economics.

Kraft, E. (2002). “Characteristics and behaviour of foreign banks during and after the banking crisis”, paper prepared for the 5th Conference on Financial Sector Reform in Central and Eastern Europe: The Impact of Foreign Banks Entry, Tallinn, Estonia, 26--27 April.

Leeper, E. (1991). “Equilibria Under `Active’ and `Passive’ Monetary and Fiscal Policies” Journal of Monetary Economics, Vol. 27, pp. 129-147.

Levin, A., J.C. Lin and C.-S. Chu (2002). “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties”, Journal of Econometrics, Vol. 108, pp. 1-24.

Levine, R. (1997). “Financial Development and Economic Growth: Views and Agenda”, Journal of Economic Literature, Vol. 35, pp. 688-726.

Levine, R. (1999). “Foreign bank entry and capital control liberalization: effects on growth and stability”, Manuscript, Carlson school of Management, University of Minnesota, Minneapolis.

Loyo, E. (1999). “Tight money paradox on the loose: a fiscalist hyperinflation”, Manuscript, Harvard University.

Martinez Peria, M.S., A. Powell and I. Vladkova (2005). “Banking on Foreigners: The Behaviour of International Bank Lending to Latin America, 1985-2000”, IMF Staff Papers, Vol. 52, No. 3, International Monetary Fund, Washington, DC.

Martinez Peria, S., A. Powell and I. Vladkova (2002). “Banking on foreigners: The behaviour of international bank lending to Latin America, 1985-2000”, World Bank Working Paper No. 2893, World Bank, Washington D.C.

McCallum, B. T. (1981). “Price level determinacy with an interest rate policy rule and rational expectations,” Journal of Monetary Economics, Elsevier, Vol. 8 No. 3, pages 319-329.

McCauley, R.N., J.S. Ruud and P.D. Wooldridge (2002). “Globalising international banking”, BIS Quarterly Review.

McGuire, P. and N. Tarashev (2005a). “The International Banking Market,” BIS Quarterly Review (June), pp. 15--30.

McGuire, P. and N. Tarashev (2005b). “The International Banking Market,” BIS Quarterly Review (September), pp. 15--30.

Merrick, J.J. Jr. (2001). “Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina”, Journal of Banking & Finance, Vol. 25, No. 10, pp. 1921-1939.

Merrill Lynch (2000). “Recovery Rates: The Search of Meaning”, High Yield, March 2000.

Merton, R. C. (1974). “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, The Journal of Finance, Vol. 29, No. 2, pp. 449-470.

Micco, A. and U. Panizza (2004). “Bank ownership and lending behaviour”, Working Paper No. 520, Inter-American Development Bank.

Micco, A. and U. Panizza (2006). “Bank Ownership and Lending Behaviour”, Economics Letters, Vol. 93, No. 2, pp. 248-54.

Micco, A., U. Panizza, and M. Yanez (2004). “Bank Ownership and performance: Are public banks different?”, Mimeographic Document, Inter-American Development Bank, Washington, D.C.

Mishkin, F. (1999). “Financial Consolidation: Dangers and Opportunities”, Journal of Banking and Finance, Vol. 23, pp. 675-91.

Morgan, D. and P.E. Strahan (2003). “Foreign bank entry and business volatility: Evidence from US states and other countries”, NBER Working Paper No. 9710.

Morgan, D.P., B. Rime and P.E. Strahan (2002). “Bank Integration and State Business Cycles”, SSRN Electronic Paper Collection.

Morgan, D.P., B. Rime and P.E. Strahan (2004). “Bank integration and state business volatility”, Quarterly Journal of Economics, Vol. 119(4), pp. 1555-85.

Moshiriam, F. (2001). “International Investment in Financial Services”, Journal of Banking and Finance, Vol. 25, pp. 317-37.

Niepelt, D. (2004). “The Fiscal Myth of the Price Level” The Quarterly Journal of Economics, MIT Press, vol. 119(1), pages 276-299.

Peek, J. and E. Rosengren (1997). “The International Transmission of Financial Shocks: The Case of Japan”, American Economic Review, Vol. 87, pp. 495-505.

Peek, J. and E. Rosengren (2000a). “Implication of the Globalisation of the Banking Sector: The Latin American Experience”, New England Economic Review, September-October Issue, pp. 45-62.

Peek, J. and E. Rosengren (2000b). “Collateral Damage: Effects of the Japanese Bank Crisis on the United States”, American Economic Review, Vol. 90, No. 1, pp. 30-45.

Pesaran, M.H. (2007). “A Simple Panel Unit Root Test in the Presence of Cross Section Dependence”, Journal of Applied Econometrics, Vol. 22, No. 2, pp. 265-312.

Pyle, D. (1971). “On the theory of financial intermedaition”, Journal of Finance, Vol. 26(3), pp.737-47.

Rabanal, P. (2004). “Monetary Policy Rules and the U.S. Business Cycle: Evidence and Implications” IMF Working Paper No. 164.

Sargent, T.J and N. Wallace (1975). “Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule” The Journal of Political Economy, Vol. 83, No. 2 (Apr., 1975), pp. 241-254

Sims, C. (1994). “A Simple Model for Study of the Determination of the Price Level and the Interaction of Monetary and Fiscal Policy”, Economic Theory Vol. 43, No. 3, pp. 381-399.

Sturzenegger, F. (2004). “Tools for the Analysis of Debt Problems”, Journal of Restructuring Finance, Vol. 1, No. 1, pp. 1-23.

Sturzenegger, F. and J. Zettelmeyer (2006). “Debt Defaults and Lessons from a Decade of Crises” MIT Press.

Taylor, J. (1993). "Discretion versus policy rules in practice”. Carnegie-Rochester Conference Series on Public Policy 39, pp. 195--214.

Taylor, J. B. (1999). “Monetary Policy Rules”, (Ed.), Chicago: University of Chicago Press.

Uribe, M. (2006). “A Fiscal Theory of Sovereign Risk”, Journal of Monetary Economics Vol. 53, pp. 1857-1875.

van Rijckeghem, C. and B. Weder (2001). “Sources of contagion: Finance or trade?”, Journal of International Economics, Vol. 54, pp. 293-308.

van Rijckeghem, C. and B. Weder (2003). “Spillovers through banking centers: A panel data analysis of bank flows”, Journal of International Money and Finance, Vol. 22(4), pp. 483-509.

Verdier, T. and C. Winograd (1998). "Privatisation de masse et macroeconomie. Un modele theorique d’une petite economie ouverte" Revue économique, Vol. 49, No. 1, pp. 257-275.

Woodford, M. (1994). “Monetary Policy and Price Level Determinacy in a Cash-in-Advance Economy”, Economic Theory Vol. 43, No. 3, pp. 345-380.

Woodford, M. (1995). “Price Level Determinacy without Control of a Monetary Aggregate”, Carnegie-Rochester Conference Series on Public Policy Vol. 43, pp. 1-46.

Woodford, M. (2001). “Fiscal Requirements for Price Stability,” Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33, No. 3, pp. 669-728.

Descargas

Publicado

08-11-2019

Cómo citar

Sosa Navarro, R. (2019). Fiscal Imbalances, Inflation and Sovereign Default Dynamics. Ensayos De Política Económica, 1(4), 108–142. Recuperado a partir de https://erevistas.uca.edu.ar/index.php/ENSAYOS/article/view/2406