Making Sovereign Debt Safe with a Financial Stability Fund

主讲人: 刘岩

武汉大学经管学院金融系副教授,武汉大学大数据研究院金融大数据研究中心副主任,武汉大学经济发展研究中心宏观经济所所长。主持完成一项国家自然科学基金青年项目,主持一项欧洲稳定机制国际合作项目,担任一项国家自然科学基金国际合作项目执行负责人,参与若干自科、社科及教育部重大、重点项目。负责“中国银行业数据库”建设。研究论文发表于《人民日报·内参》、《中国工业经济》、《金融研究》、《经济评论》、Accounting and Finance、Applied Economics Letters、Texas International Law Journal、Knowledge Organization等国内外经济、金融、法学知名期刊。研究论文获得中国金融学年会最佳论文(2017、2018),武汉市社会科学优秀成果三等奖(2018),PwC3535年度最佳论文奖(2020),《世界经济年鉴》世经经济统计学2019年最佳论文TOP10;教学工作获得武汉大学经济与管理学院教学贡献院长奖。

主持人: 薛涧坡

This paper further advances the design of an optimal Financial Stability Fund (Fund) of Abraham et al. (2019) by not having the Fund absorbing all the sovereign debt of a country. The Fund's long-term contracts are subject to two-sided limited enforcement constraints: at any point in time the borrowing country may breach the contract and exit, while the Fund cannot have expected losses. The country's constraint therefore represents a sovereignty constraint, whereas the lenders' constraint can be interpreted as a debt sustainability analysis (DSA). The country can borrow long-term defaultable bonds on the private international market, while having a state-contingent contract with the Fund, which provides insurance and, possibly, credit. The Fund contract has no seniority with respect to the privately held sovereign debt and, therefore, takes this external debt into account. The share of debt held by the Fund might be indeterminate; nevertheless, there is one contract that minimizes the debt absorbed by the Fund. In equilibrium, the Fund contract prevents the country from defaulting on its entire debt position. As a result, the debt in the private international market becomes risk-free, although it is constrained when the Fund's limited enforcement constraint binds. The latter therefore internalizes a pecuniary externality that competitive private lenders usually do not: the fact that marginal lending can result in debt becoming unsustainable. In light of this, our model provides an appealing theoretical and quantitative framework to address sovereign debt-overhang problems and, in doing so, increasing the supply of ‘safe assets’, in the Euro Area and elsewhere.

时间: 2020-11-27(Friday)16:40-18:00
地点: 经济楼N302
主办单位: 厦门大学经济学院、王亚南经济研究院
类型: 系列讲座