主权债务棘轮与福利损失

中文摘要

我们研究一个缺乏耐心且风险中性的政府，该政府无法承诺特定的债务路径，其融资由竞争性贷款人提供。在均衡中，债务缓慢地向债务收入比目标调整，从而加剧繁荣与衰退。值得注意的是，当交易连续进行时，贸易收益会消散，致使政府的境况并不优于金融自给自足状态，这是由于主权“债务棘轮效应”所致。此外，比其政府更有耐心的公民会受到严格意义上的损害。我们在收入服从几何布朗运动的情形下刻画均衡债务动态、遍历性质与比较静态分析，并分析使主权政府得以重新获取贸易收益的机制。

Abstract

We study an impatient, risk-neutral government that cannot commit to a particular debt path, financed by competitive lenders. In equilibrium, debt adjusts slowly toward a debt-to-income target, exacerbating booms and busts. Strikingly, gains from trade dissipate when trading is continuous, leaving the government no better off than in financial autarky, owing to a sovereign “debt ratchet effect.” Moreover, citizens who are more patient than their government are strictly harmed. We characterize equilibrium debt dynamics, ergodics, and comparative statics when income follows a geometric Brownian motion and analyze devices that allow the sovereign to recapture gains from trade.