Sovereign Debt Crisis in a Monetary Union

• 발행기관: 한국재정학회(구 한국재정·공공경제학회)
• 저자명: Yong Jin Kim(김용진) Chul-In Lee(이철인)
• 간행물 정보: 『한국재정학회 학술대회 논문집』2018년도 춘계학술대회 논문집, 1~48쪽, 전체 48쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2018.03.30

국문 초록

Despite vast empirical documentation of the recent sovereign debt crisis in southern Europe, there is little research accounting for the following stylized facts in a single coherent framework: continuous borrowing, high growth, housing bubbles and current account deficits since the beginning of the EMU ending with sudden crisis and subsequent contagion of crisis. We fill this gap by proposing a model and fitting it to the data. Using a growth model with collateral constraints of small peripheral economies in the institution of a monetary union, we analyze the multi-layer moral hazards underlying excessive borrowing from core economies. Since housing bubbles can support a constant loan-to-value (LTV) ratio lower than LTV limits, peripheral economies can lock into a steady-state Ponzi growth equilibrium with high growth and current account deficits, but these economies become vulnerable to crises. We identify the “self-fulfilling crisis region” (SFCR), in which the economy grows fast with a seemingly safe LTV ratio, but shocks can trigger a crisis. Moreover, a crisis in a sector propagates to other sectors by endogenously expanding their SFCRs. We derive some policy implications on LTV regulations. Finally, our calibration exercise presents how bubbles develop and burst along with contagion across sectors, accounting for the data.

목차

I. Introduction

II. Model

III. Self-fulfilling Crisis and Propagation to Other Sectors

IV. Quantitative analysis

V. Concluding Remarks

키워드

Sovereign debt crisis moral hazard self-fulfilling crisis collateral lending steady-state Ponzi growth equilibrium.