Monetary Policy and Sovereign Risk in Emerging Economies

(NK-Default)

主讲人：Yan Bai (University of Rochester)

主持人：余淼杰、余昌华（北京大学国家发展研究院）

时间：2022年05月10日（周二）上午9:00-10:30（北京时间）

Zoom会议号：926 3889 7210

密码：908060

讲座摘要：

This paper develops a New Keynesian model with sovereign default risk (NK-Default). We focus on the interaction between monetary policy, conducted according to an interest rate rule that targets inflation, and external defaultable debt issued by the government. Monetary policy and default risk interact since both affect domestic consumption, production, and inflation. We find that default risk amplifies monetary frictions and generates a tension for monetary policy, which increases the volatility of inflation and nominal rates. These monetary frictions in turn discipline sovereign borrowing, slowing down debt accumulation and lowering sovereign spreads. Our framework replicates the positive comovements of spreads with nominal domestic rates and inflation, a salient feature of emerging markets data, and can rationalize the experience of Brazil during the 2015 downturn, with high inflation, nominal rates, and spreads.

主讲人简介：

Yan Bai (白艳) is a professor at Department of Economics, University of Rochester. She is also a research fellow at CEPR and a research associate at NBER. She received Ph.D. from University of Minnesota in 2005, M.A. from Peking University in 1999, B.A. from Shanghai University of Finance and Economics in 1996. She received a National Science Foundation Grant from 2010-2015 for “Aggregate Implications of Default Risk and Micro Heterogeneity”. She has published two papers in American Economic Review, one papers in Journal of Political Economy and one paper in Econometrica.