期限、负债和违约风险外文文献.pdf

American Economic Review 2012, 102(6): 2674–2699 /10.1257/aer.102.6.2674 Maturity, Indebtedness, and Default Risk† By Satyajit Chatterjee and Burcu Eyigungor* We advance quantitative-theoretic models of sovereign debt by prov- ing the existence of a downward sloping equilibrium price function for long-term debt and implementing a novel method to accurately compute it. We show that incorporating long-term debt allows the model to match Argentina’s average external debt-to-output ratio, average spread on external debt, the standard deviation of spreads, and simultaneously improve upon the model’s ability to account for Argentina’s other cyclical facts. We also investigated the welfare properties of maturity length and showed that if the possibility of self-fulfilling rollover crises is taken into account, long-term debt is superior to short-term debt. (JEL E23, E32, F34, O11, O19) Until recently, the existing literature on debt and default—both the consumer debt and the sovereign debt parts—has considered only one-period debt. In reality, both consumers and countries can and do borrow for more than one period. In this paper, we present a new approach to incorporating long-term debt in equilibrium models of unsecured debt and default in the style of Eaton and Gersovitz (1981). We make four contributions. First, we show that there exists an equilibrium price function for unsecured long-term debt with the property that the supply curve for credit is rising in the interest rate. Thus, a key implication of the Eaton-Gersovitz framework is shown to carry over to the case of long-term debt.1 Sec