Arbeitspapier

Default Risk Premium and Aggregate Fluctuations in a Small Open Economy

This study investigates the implications of risk premium shocks for aggregate fluctuations in a small open economy with financial and informational frictions. A dynamic, stochastic, general equilibrium framework is developed, where the informational asymmetries among the agents in the model and the uncertainty in the production process necessitate financial intermediation in the economy. The Holmstrom-Tirole type of uncertainty in the production process also leads to collateralized borrowing by firms, with the physical capital stock of firms serving as the collateral as well as the factor of production. There is also a government sector in the economy that borrows domestically with a partial default risk. In order to compensate the lenders for the default risk included in the government bonds, the government has to offer them some risk premium in addition to the exogenously given world interest rate offered by the foreign bond issuers. It is shown that, under certain circumstances, it is possible for the government to reduce its debt and increase its spending in response to a positive, temporary risk premium shock.

Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 1131

Klassifikation
Wirtschaft
Open Economy Macroeconomics
International Financial Markets
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Fiscal Policies and Behavior of Economic Agents: Other
Thema
default risk premium
dynamic stochastic general equilibrium
aggregate fluctuations
Risikoprämie
Schock
Bruttoinlandsprodukt
Asymmetrische Information
Allgemeines Gleichgewicht
Kleine offene Volkswirtschaft
Theorie

Ereignis
Geistige Schöpfung
(wer)
Çakıcı, S. Meral
Ereignis
Veröffentlichung
(wer)
Koç University-TÜSİAD Economic Research Forum (ERF)
(wo)
Istanbul
(wann)
2011

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Çakıcı, S. Meral
  • Koç University-TÜSİAD Economic Research Forum (ERF)

Entstanden

  • 2011

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