Quarterly Journal of Economics · 2026 · Cristina Arellano、Yan Bai、Gabriel Mihalache
中文摘要
本文构建了一个包含主权违约风险的新凯恩斯模型。模型中, 通胀由前瞻性企业设定, 货币政策采用利率规则, 财政当局对外进行长期借款且拥有违约选择权。在这一框架下, 违约风险通过预期渠道产生通胀压力, 而紧缩性货币政策能够抑制财政过度举债。该模型为新兴市场数据中的暂时性通胀事件提供了解释: 通胀、利差与国内政策利率的短暂飙升。随着利差上升, 企业在预期未来通胀更高且违约期间消费低迷的情况下提高其价格。货币政策随之收紧, 既降低了通胀, 又通过约束政府借款促使利差回落。这些货币—财政互动意味着, 对货币政策而言, 实现弹性价格下的资源配置可能并非最优。
Abstract
Abstract This article develops a New Keynesian model with sovereign default risk. Inflation is set by forward-looking firms, monetary policy is an interest rate rule, and the fiscal government borrows externally, long-term, with an option to default. In this framework, default risk creates inflation pressures through an expectations channel, and tight monetary policy disincentivizes fiscal overborrowing. The model sheds light on temporary inflation events in emerging-market data: short-lived spikes in inflation, spreads, and domestic policy rates. As spreads rise, firms increase their prices in expectation of higher future inflation and low consumption during default. Monetary policy tightens, which reduces inflation and helps bring spreads down by disciplining government borrowing. These monetary-fiscal interactions imply that delivering the flexible-prices allocation may not be optimal for monetary policy.