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Sovereign Debt with Adverse Selection
Apresenta um modelo de equilíbrio dinâmico para estudar quantitativamente os serviços de contingência da dívida soberana e os riscos de spread dos países.
Debt Redemption, Reserve Accumulation, and Exchange-rate Regimes
Foreign participation in local-currency-bond markets in emerging countries has increased dramatically over the past decade. In light of this trend, we revisit the question of the optimal exchange-rate regime when developing countries can borrow internationally with local-currency-denominated debt. We find that, as local-currency-bond markets develop, a "pseudo-flexible regime," whereby a country accumulates reserves in conjunction with debt, is the policy that most effectively stabilizes fluctuations under real external shocks.
Asset Management at Central Banks and Monetary Authorities
In response to the Global Financial Crisis and the COVID-19 pandemic, central banks have used all available instruments in their monetary policy tool-kit to avoid financial market disruptions and a collapse in real economic activities. These actions have expanded the size of their balance sheets and altered the composition of the asset-side. This edited book highlights how these assets are managed, providing an intellectual and practical contribution to an under-researched field of central bank responsibilities. It first reviews the sources and uses of domestic and international assets and how they complement—or possibly conflict with—the implementation of monetary policy goals. Next, th...
Lending to the Borrower from Hell
What the loans and defaults of a sixteenth-century Spanish king can tell us about sovereign debt today Why do lenders time and again loan money to sovereign borrowers who promptly go bankrupt? When can this type of lending work? As the United States and many European nations struggle with mountains of debt, historical precedents can offer valuable insights. Lending to the Borrower from Hell looks at one famous case—the debts and defaults of Philip II of Spain. Ruling over one of the largest and most powerful empires in history, King Philip defaulted four times. Yet he never lost access to capital markets and could borrow again within a year or two of each default. Exploring the shrewd reas...
Energy, Bio Fuels and Development
This collection examines the important and topical issue of the economic, social and environmental implications of concerted attempts to diversify energy sources away from fossil fuels. The book expertly examines this issue by focussing on the contrasting experiences of two major economies; one developed, and the other a rapidly expanding, emerging market. Energy, Bio Fuels and Development evaluates the experience of Brazil, with elements of that of the US highlighted for the purpose of comparison. A key area of concern surrounds the causes and consequences of the contrasting routes to biofuel production represented by sugar cane (in Brazil) and corn (in the US). The book also places the rec...
Fiscal Rules and Sovereign Default
Recurrent concerns over debt sustainability in emerging and developed nations have prompted renewed debate on the role of fiscal rules. Their optimality, however, remains unclear. We provide a quantitative analysis of fiscal rules in a standard model of sovereign debt accumulation and default modified to incorporate quasi-hyperbolic preferences. For reasons of political economy or aggregation of citizens’ preferences, government preferences are present biased, resulting in over-accumulation of debt. Calibrating this parameter with values in the literature, the model can reproduce debt levels and frequency of default typical of emerging markets even if the household impatience parameter is calibrated to local interest rates. A quantitative exercise finds welfare gains of the optimal fiscal policy to be economically substantial, and the optimal rule to not entail a countercyclical fiscal policy. A simple debt rule that limits the maximum amount of debt is analyzed and compared to a simple deficit rule that limits the maximum amount of deficit per period. Whereas the deficit rule does not perform well, the debt rule yields welfare gains virtually equal to the optimal rule.
Sticky Prices and Brazilian Business Cycles
We calibrate an artificial monetary economy, similar to the one proposed by Chari, Kehoe and McGrattan (2000), to the post-Real Plan Brazilian economy. We use simulations to evaluate the effects of price rigidity over the business cycles. Economies with little rigidities perform better than totally flexible economies, supporting the usual models hypothesis of the Brazilian Central Bank. Results suggest a promising future for the use of microfounded models as an auxiliary tool for monetary policy decision taking.
Taming the Tide of Capital Flows
A comprehensive examination of policy measures intended to help emerging markets contend with large and volatile capital flows. While always episodic in nature, capital flows to emerging market economies have been especially volatile since the global financial crisis. After peaking at $680 billion in 2007, flows to emerging markets turned negative at the onset of crisis in 2008, then rebounded only to recede again during the U.S. sovereign debt downgrade in 2011. Since then, flows have continued to swing wildly, leaving emerging market policy makers wondering whether they can put in place policies during the inflow phase that will soften the blow when flows subsequently recede. This book off...
Sovereign Default, Private Sector Creditors and the IFIs
This paper builds a model of a sovereign borrower that has access to credit from private sector creditors and an IFI. Private sector creditors and the IFI offer different debt contracts that are modelled based on the institutional frameworks of these two types of debt. We analyze the decisions of a sovereign on how to allocate its borrowing needs between these two types of creditors, and when to default on its debt to the private sector creditor. The numerical analysis shows that, consistent with the data; the model predicts countercyclical IFI debt along with procyclical commercial debt flows, also matching other features of the data such as frequency of IFI borrowing and mean IFI debt stock.
