自我实现的债务危机与长期停滞（英）

BoardofGovernorsoftheFederalReserveSystemInternationalFinanceDiscussionPapers ISSN1073-2500(Print) ISSN2767-4509(Online) Number1370 February2023 Self-FulfillingDebtCriseswithLongStagnations JoaoAyres,GastonNavarro,JuanPabloNicolini,andPedroTeles Pleasecitethispaperas: Ayres,Joao,GastonNavarro,JuanPabloNicolini,andPedroTeles(2023).“Self-FulfillingDebtCriseswithLongStagnations,”InternationalFinanceDiscussionPa-pers1370.Washington:BoardofGovernorsoftheFederalReserveSystem,https://doi.org/10.17016/IFDP.2023.1370. NOTE:InternationalFinanceDiscussionPapers(IFDPs)arepreliminarymaterialscirculatedtostimu-latediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.ReferencesinpublicationstotheInternationalFinanceDiscussionPapersSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.RecentIFDPsareavailableontheWebatwww.federalreserve.gov/pubs/ifdp/.ThispapercanbedownloadedwithoutchargefromtheSocialScienceResearchNetworkelectroniclibraryatwww.ssrn.com. Self-FulfillingDebtCriseswithLongStagnations∗ JoaoAyres Inter-AmericanDevelopmentBank GastonNavarro FederalReserveBoard JuanPabloNicolini FederalReserveBankofMinneapolisandUniversidadTorcuatoDiTella PedroTeles BancodePortugal,CatolicaLisbonSBE,andCEPR February1,2023 Abstract Weassessthequantitativerelevanceofexpectations-drivensovereigndebtcrises,focusingontheSouthernEuropeancrisisoftheearly2010’sandtheArgentinedefaultof2001.ThesourceofmultiplicityistheoneinCalvo(1988).Keyformul-tiplicityisanoutputprocessfeaturinglongperiodsofeitherhighgrowthorstag-nationthatweestimateusingdataforthosecountries.Wefindthatexpectations-drivendebtcrisesarequantitativelyrelevantbutstatedependent,astheyonlyoccurduringstagnations.ExpectationsareamajordriverexplainingdefaultratesandcreditspreaddifferencesbetweenSpainandArgentina. Keywords:Self-fulfillingdebtcrises,sovereigndefault,multiplicity,stagnations. JELcodes:E44,F34. ∗WewouldliketothankMarkAguiarandFernandoAlvarezforveryusefuldiscussions.WearealsothankfultoManuelAmador,VeronicaGuerrieri,PatrickKehoe,TimKehoe,andMarkWright.WethankAlejandroParraguez,AmolAmol,andSalimSyedChantoforoutstandingassistance.TelesgratefullyacknowledgesthesupportofFCT.TheviewsexpressedhereinarethoseoftheauthorsandnotnecessarilythoseofBancodePortugal,theEuropeanSystemofCentralBanks,theInter-AmericanDevelopmentBank,theFederalReserveBankofMinneapolis,ortheFederalReserveSystem.E-mailaddresses:joaoay@iadb.org,gaston.m.navarro@frb.gov,juanpa@minneapolisfed.org,pteles@ucp.pt. 1Introduction Howimportantareexpectationsintriggeringsovereigndebtcrises?Inthispaper,weexplorethequantitativeimplicationsofamodelofsovereigndebtcrisesthatexhibitsstate-dependentmultiplicity.ThemechanismweconsidertogeneratemultiplicityistheoneproposedbyCalvo(1988)inwhichhighinterestratesinducehighdefaultprobabilitiesthatinturnjustifythehighrates.Weshowthatthemechanismisquantitativelyrelevant,especiallyduringperiodsofeconomicstagnation.WebuildonAyresetal.(2018),whoarguethatthemechanisminCalvo(1988)isofinterestwhenthefundamentaluncertaintyisbimodal,withbothgoodandbadtimes.1 Ouranalysisofself-fulfillingequilibriaininterestratespreadsismotivatedbytwoparticularepisodesofsovereigndebtcrises.ThefirstoneistherelativelyrecentEuropeansovereigndebtcrisisof2012.Thepeakofthecrisiswasinthesummerof2012andrecededsubstantiallyafterDraghi’s“whateverittakes”speechinJuly,followedbytheSeptemberpolicyannouncementsbytheEuropeanCentralBank(ECB).2ThespreadsonItalianandSpanishpublicdebt,whichwereveryclosetozerosincetheintroductionoftheeuroanduntilApril2009,startedtoincreaseandexceeded5%forbothItalyandSpainbythetimetheECBannouncedtheOutrightMonetaryTransactions(OMT)program.TheywereconsiderablyhigherinPortugaland,inparticular,Ireland,andGreece.WiththeannouncementoftheOMT,accordingtowhichthecentralbankstandsreadytopurchaseeuro-areasovereigndebtinsecondarymarkets,thespreadsinmostofthosecountriessliddowntolessthan2%,eventhoughtheECBdidnotactuallyintervene.Thepotentialself-fulfillingnatureoftheeventsleadingtothehighspreadsinthesummerof2012wasexplicitlyusedbythepresidentoftheECBtojustifythepolicy.3 Thesecondepisodeisthe1998–2002Argentinecrisis.Backin1993,Argentinahadregainedaccesstointernationalcapitalmarkets,buttheaveragecountryriskspreadondollar-denominatedbondsfortheperiod1993–1999period,relativetotheU.S.bond,was7%.Thedebt-to-GDPratiowasonly35%andtheaverageyearlygrowthrateofGDPwasaround5%.Still,theArgentinegovernmentdefaultedin2002,afterfouryearsofalongrecession.Notethata7%spreadona35%debt-to-GDPratioamountstoalmost2.5%ofGDPonextrainterestpaymentsperyear.Accumulatedoverthe1993–1999period,thisrepresents15%ofGDP,oralmosthalfofthedebt-to-GDPratioofArgentinain1993.Anobviousquestionarises:HadArgentinafacedlowerinterestrates,wouldithavedefaultedin2002? Themaincontributionofthispaperistoshowthatthemechanismthatgenerates 1SeeLorenzoniandWerning(2019)whoalsodiscussmultiplicityasi