SOVEREIGN DEBT MARKETS 2014 IN TURBULENT TIMES: CREDITOR DISCRIMINATION AND CROWDING-OUT EFFECTS Fernando Broner, Aitor Erce, Alberto Martin and Jaume Ventura
Documentos de Trabajo N.º 1402 SOVEREIGN DEBT MARKETS IN TURBULENT TIMES: CREDITOR DISCRIMINATION AND CROWDING-OUT EFFECTS SOVEREIGN DEBT MARKETS IN TURBULENT TIMES: CREDITOR DISCRIMINATION AND CROWDING-OUT EFFECTS (*)
Fernando Broner, Alberto Martin and Jaume Ventura
CREI, UNIVERSITAT POMPEU FABRA, AND BARCELONA GSE
Aitor Erce (**)
BANCO DE ESPAÑA AND EUROPEAN STABILITY MECHANISM
(*) We thank Tom Schmitz and Beatriz Urquizu for excellent research assistance. We received valuable comments from Klaus Adam, Cinzia Alcidi, Christoph Bertsch, Mark Wright and participants at presentations held at Banco Central de Chile, Banco de España, Barcelona GSE Summer Forum, Bocconi, Bruegel, Carnegie-Rochester-NYU conference, ECB, EUI, Harvard, IMF, Maryland, MIT, Princeton, Science Po, Toulouse and World Bank. We acknowledge financial support from the Spanish Ministry of Science and Innovation, the Spanish Ministry of Economy and Competitiveness Severo Ochoa Program, the Generalitat de Catalunya, and the European Research Council (Starting Grant FP7- 263846 and Advanced Grant FP7-249588). The paper was partly written while Broner was visiting MIT. Previous versions of this paper were circulated under the title “Secondary Markets in Turbulent Times: Distortions, Disruptions and Bailouts.” (**) The views in this paper are the authors’ and do not reflect those of the European Stability Mechanism.
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ISSN: 1579-8666 (on line) Abstract
In 2007, countries in the euro periphery were enjoying stable growth, low defi cits and low spreads. Then the fi nancial crisis erupted and pushed them into deep recession, raising their defi cits and debt levels. By 2010, they were facing severe debt problems. Spreads increased and, surprisingly, so did the share of the debt held by domestic creditors. Credit was reallocated from the private to the public sector, reducing investment and deepening the recession even further. To account for these facts, we propose a simple model of sovereign risk in which debt can be traded in secondary markets. The model has two key ingredients: creditor discrimination and crowding-out effects. Creditor discrimination arises because, in turbulent times, sovereign debt offers a higher expected return to domestic creditors than to foreign ones. This provides incentives for domestic purchases of debt. Crowding-out effects arise because private borrowing is limited by fi nancial frictions. This implies that domestic debt purchases displace productive investment. The model shows that these purchases reduce growth and welfare, and may lead to self-fulfi lling crises. It also shows how crowding-out effects can be transmitted to other countries in the euro zone, and how they may be addressed by policies at the European level.
Keywords: sovereign debt, discrimination, crowding out, rollover crises, economic growth.
JEL classifi cation: F32, F34, F36, F41, F43, F44, F65, G15. Resumen
En 2007, los países de la periferia europea disfrutaban de un crecimiento estable, y défi cits fi scales y primas de riesgo reducidos. Sin embargo, la crisis fi nanciera global empujó a estas mismas economías a profundas recesiones, aumentando sus défi cits públicos y volúmenes de deuda pública de tal forma que en 2010 estas economías comenzaron a sufrir episodios de crisis de deuda soberana muy severos. Al tiempo que las primas de riesgo aumentaban, también lo hizo la proporción de la deuda pública en manos de inversores residentes. De esta forma, el crédito disponible fue reasignado del sector privado al sector público, lo que vino acompañado de una caída en la inversión privada y un agravamiento de la recesión económica. En este trabajo proponemos un modelo de riesgo soberano, en el que la deuda pública se negocia en mercados secundarios, y que es capaz de racionalizar todos estos hechos estilizados. El modelo tiene dos ingredientes principales: discriminación entre acreedores y «efecto expulsión» (crowding-out effect, en inglés). La discriminación entre acreedores aparece porque, durante periodos de turbulencias fi scales, la deuda pública ofrece un retorno esperado más alto a inversores residentes que a inversores extranjeros, lo cual genera incentivos para que los primeros compren, a través de los mercados secundarios, las tenencias de deuda de los segundos. El «efecto expulsión» aparece porque la provisión de crédito al sector privado está limitada por fricciones fi nancieras (restricciones de colateral). Esto implica que las compras de deuda pública por parte de los inversores residentes desplaza (expulsa) la inversión productiva. El modelo muestra que esas compras pueden reducir el crecimiento económico y el bienestar agregado, y conducir a la economía a sufrir crisis autorrealizables (self-fulfi lling crises, en inglés). El modelo también muestra como este «efecto expulsión» puede transmitirse a otros miembros de la Unión Monetaria y como estas inefi ciencias pueden ser amortiguadas mediante la aplicación de políticas a nivel europeo.
Palabras clave: deuda soberana, discriminación, efecto expulsión, crisis de refi nanciación, crecimiento económico.
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BANCO DE ESPAÑA 53 DOCUMENTO DE TRABAJO N.º 1402 &ŝŐƵƌĞϮ͘WƵďůŝĐĚĞďƚĂŶĚĚĞĨŝĐŝƚ
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BANCO DE ESPAÑA 54 DOCUMENTO DE TRABAJO N.º 1402 &ŝŐƵƌĞϯ͘^ŽǀĞƌĞŝŐŶĚĞďƚŵĂƚƵƌŝƚLJƐƚƌƵĐƚƵƌĞ
ǀĞƌĂŐĞƚĞƌŵƚŽŵĂƚƵƌŝƚLJ ϭϰ ϭϮ ϭϬ ϴ ϲ ϰ Ϯ Ϭ
'ĞƌŵĂŶLJ &ƌĂŶĐĞ ^ƉĂŝŶ /ƚĂůLJ /ƌĞůĂŶĚ WŽƌƚƵŐĂů 'ƌĞĞĐĞ
^ŚŽƌƚƚĞƌŵĚĞďƚƚŽƚŽƚĂůĚĞďƚ Ϭ͘ϰϱ Ϭ͘ϰ Ϭ͘ϯϱ Ϭ͘ϯ Ϭ͘Ϯϱ Ϭ͘Ϯ Ϭ͘ϭϱ Ϭ͘ϭ Ϭ͘Ϭϱ Ϭ
'ĞƌŵĂŶLJ &ƌĂŶĐĞ ^ƉĂŝŶ /ƚĂůLJ /ƌĞůĂŶĚ WŽƌƚƵŐĂů 'ƌĞĞĐĞ
ǀĞƌĂŐĞ ƚĞƌŵŵĂƚƵƌŝƚLJĚĂƚĂĐŽŵĞƐĨƌŽŵƚŚĞK ĂŶĚĞŶƚƌĂůĂŶŬŽĨ/ƌĞůĂŶĚĨŽƌ/ƌĞůĂŶĚ ĂŶĚ'ĞƌŵĂŶLJ͕ĂŶĚƚŚĞ^ƉĂŶŝƐŚdƌĞĂƐƵƌLJĨŽƌ^ƉĂŝŶ͘&ŽƌƚŚĞŽƚŚĞƌƐĂŵƉůĞͲĐŽƵŶƚƌŝĞƐǁĞƵƐĞĚ ĚĂƚĂŽŶĂǀĞƌĂŐĞƌĞƐŝĚƵĂůŵĂƚƵƌŝƚLJ͘'ŽǀĞƌŶŵĞŶƚƐŚŽƌƚͲƚĞƌŵĚĞďƚŝƐŐŽǀĞƌŶŵĞŶƚĚĞďƚ ǁŝƚŚŵĂƚƵƌŝƚLJƵƉƚŽϭLJĞĂƌ͘^ŚŽƌƚƚĞƌŵĚĞďƚĚĂƚĂĐŽŵĞƐĨƌŽŵƚŚĞ ĨŽƌĂůůŽĨŽƵƌƐĂŵƉůĞͲ ĐŽƵŶƚƌŝĞƐďƵƚ/ƌĞůĂŶĚ͕ĨŽƌǁŚŝĐŚĚĂƚĂĐŽŵŝŶŐĨƌŽŵƚŚĞĞŶƚƌĂůĂŶŬŽĨ/ƌĞůĂŶĚǁĂƐƵƐĞĚ͘
BANCO DE ESPAÑA 55 DOCUMENTO DE TRABAJO N.º 1402 &ŝŐƵƌĞϰ͘ZĞƐŝĚĞŶƚĂŶĚĨŽƌĞŝŐŶŚŽůĚŝŶŐƐŽĨƐŽǀĞƌĞŝŐŶĚĞďƚ
'ĞƌŵĂŶLJ &ƌĂŶĐĞ ϭ ϭ ϭϮϬϬ Ϭ͘ϵ Ϭ͘ϵ Ϭ͘ϴ Ϭ͘ϴ ϭϬϬϬ Ϭ͘ϳ Ϭ͘ϳ ϴϬϬ Ϭ͘ϲ Ϭ͘ϲ Ϭ͘ϱ Ϭ͘ϱ ϲϬϬ Ϭ͘ϰ Ϭ͘ϰ Ϭ͘ϯ Ϭ͘ϯ ϰϬϬ Ϭ͘Ϯ Ϭ͘Ϯ ϮϬϬ Ϭ͘ϭ Ϭ͘ϭ Ϭ Ϭ Ϭ
ZĞƐŝĚĞŶƚƐ EŽŶͲƌĞƐŝĚĞŶƚƐ ZĞƐŝĚĞŶƚƐ EŽŶͲƌĞƐŝĚĞŶƚƐ ƐƉƌĞĂĚ;Z,^Ϳ
/ƚĂůLJ ^ƉĂŝŶ ϭ ϭϮϬϬ ϭ ϭϮϬϬ Ϭ͘ϵ Ϭ͘ϵ ϭϬϬϬ ϭϬϬϬ Ϭ͘ϴ Ϭ͘ϴ Ϭ͘ϳ Ϭ͘ϳ ϴϬϬ ϴϬϬ Ϭ͘ϲ Ϭ͘ϲ Ϭ͘ϱ ϲϬϬ Ϭ͘ϱ ϲϬϬ Ϭ͘ϰ Ϭ͘ϰ ϰϬϬ ϰϬϬ Ϭ͘ϯ Ϭ͘ϯ Ϭ͘Ϯ Ϭ͘Ϯ ϮϬϬ ϮϬϬ Ϭ͘ϭ Ϭ͘ϭ Ϭ Ϭ Ϭ Ϭ
ZĞƐŝĚĞŶƚƐ EŽŶͲƌĞƐŝĚĞŶƚƐ ƐƉƌĞĂĚ;Z,^Ϳ ZĞƐŝĚĞŶƚƐ EŽŶͲƌĞƐŝĚĞŶƚƐ ƐƉƌĞĂĚ;Z,^Ϳ
WŽƌƚƵŐĂů /ƌĞůĂŶĚ ϭ ϭϮϬϬ ϭ ϭϮϬϬ Ϭ͘ϵ Ϭ͘ϵ Ϭ͘ϴ ϭϬϬϬ Ϭ͘ϴ ϭϬϬϬ
Ϭ͘ϳ ϴϬϬ Ϭ͘ϳ ϴϬϬ Ϭ͘ϲ Ϭ͘ϲ Ϭ͘ϱ ϲϬϬ Ϭ͘ϱ ϲϬϬ Ϭ͘ϰ Ϭ͘ϰ Ϭ͘ϯ ϰϬϬ Ϭ͘ϯ ϰϬϬ
Ϭ͘Ϯ ϮϬϬ Ϭ͘Ϯ ϮϬϬ Ϭ͘ϭ Ϭ͘ϭ Ϭ Ϭ Ϭ Ϭ
ZĞƐŝĚĞŶƚƐ EŽŶͲƌĞƐŝĚĞŶƚƐ ƐƉƌĞĂĚ;Z,^Ϳ ZĞƐŝĚĞŶƚƐ EŽŶͲƌĞƐŝĚĞŶƚƐ ƐƉƌĞĂĚ;Z,^Ϳ
'ƌĞĞĐĞ ĂƚĂŽŶƐŽǀĞƌĞŝŐŶĚĞďƚŚŽůĚŝŶŐƐĐŽŵĞƐŽƵƌƐĂŵƉůĞͲĐŽƵŶƚƌŝĞƐ ϭ ϰϬϬϬ ĞŶƚƌĂůĂŶŬƐĂŶĚDĞƌůĞƌĂŶĚWŝƐĂŶŝͲ&ĞƌƌLJ;ϮϬϭϮͿ͘^ƉƌĞĂĚƐĐŽŵĞ Ϭ͘ϵ ϯϱϬϬ ĨƌŽŵĂƚĂƐƚƌĞĂŵ͘dŚĞƐƉƌĞĂĚƐƌĞĨĞƌƐƚŽƚŚĞĚŝĨĨĞƌĞŶĐĞŝŶLJŝĞůĚ Ϭ͘ϴ ϯϬϬϬ ďĞƚǁĞĞŶƚŚĞĐŽƌƌĞƐƉŽŶĚŝŶŐƌĞĨĞƌĞŶĐĞϭϬLJĞĂƌƐďŽŶĚĂŶĚƚŚĞ Ϭ͘ϳ 'ĞƌŵĂŶϭϬLJĞĂƌƐƵŶĚ͘ĂƚĂŽŶƐŽǀĞƌĞŝŐŶŚŽůĚŝŶŐƐŝƐŶŽŵŝŶĂů ϮϱϬϬ Ϭ͘ϲ ǀĂůƵĞĨŽƌĂůůĐŽƵŶƚƌŝĞƐďƵƚ'ƌĞĞĐĞ͕ǁŚĞƌĞŝƚŵŝdžĞƐŵĂƌŬĞƚĂŶĚ Ϭ͘ϱ ϮϬϬϬ ŶŽŵŝŶĂůǀĂůƵĞƐ͘dŚĞƌŝŐŚƚŚĂŶĚƐŝĚĞĂdžŝƐĨŽƌ'ƌĞĞĐĞƉƌĞƐĞŶƚƐĂ Ϭ͘ϰ ϭϱϬϬ Ϭ͘ϯ ĚŝĨĨĞƌĞŶƚƐĐĂůĞƚŽ ďĞƚƚĞƌĐŽůůĞĐƚƚŚĞũƵŵƉŝŶƚŚĞƐŽǀĞƌĞŝŐŶƐƉƌĞĂĚ ŝŶ ϭϬϬϬ Ϭ͘Ϯ ϮϬϭϭ͘ Ϭ͘ϭ ϱϬϬ Ϭ Ϭ
ZĞƐŝĚĞŶƚƐ EŽŶͲƌĞƐŝĚĞŶƚƐ ƐƉƌĞĂĚ;Z,^Ϳ
BANCO DE ESPAÑA 56 DOCUMENTO DE TRABAJO N.º 1402 &ŝŐƵƌĞϱ͘ZĞƐŝĚĞŶƚƐΖƐŽǀĞƌĞŝŐŶĚĞďƚŚŽůĚŝŶŐƐďLJƐĞĐƚŽƌ
'ĞƌŵĂŶLJ &ƌĂŶĐĞ ϭ ϭ Ϭ͘ϵ Ϭ͘ϵ Ϭ͘ϴ Ϭ͘ϴ Ϭ͘ϳ Ϭ͘ϳ Ϭ͘ϲ Ϭ͘ϲ Ϭ͘ϱ Ϭ͘ϱ Ϭ͘ϰ Ϭ͘ϰ Ϭ͘ϯ Ϭ͘ϯ Ϭ͘Ϯ Ϭ͘Ϯ Ϭ͘ϭ Ϭ͘ϭ Ϭ Ϭ
ĂŶŬƐ WƌŝǀĂƚĞŶŽŶͲĨŝŶĂŶĐŝĂů EŽŶͲZĞƐŝĚĞŶƚƐ ĂŶŬƐ KƚŚĞƌZĞƐŝĚĞŶƚƐ EŽŶͲZĞƐŝĚĞŶƚƐ
/ƚĂůLJ ^ƉĂŝŶ ϭ ϭ Ϭ͘ϵ Ϭ͘ϵ Ϭ͘ϴ Ϭ͘ϴ Ϭ͘ϳ Ϭ͘ϳ Ϭ͘ϲ Ϭ͘ϲ Ϭ͘ϱ Ϭ͘ϱ Ϭ͘ϰ Ϭ͘ϰ Ϭ͘ϯ Ϭ͘ϯ Ϭ͘Ϯ Ϭ͘Ϯ Ϭ͘ϭ Ϭ͘ϭ Ϭ Ϭ
ĂŶŬƐ WƌŝǀĂƚĞŶŽŶͲĨŝŶĂŶĐŝĂů EŽŶͲZĞƐŝĚĞŶƚƐ ĂŶŬƐ WƌŝǀĂƚĞŶŽŶͲĨŝŶĂŶĐŝĂů EŽŶƌĞƐŝĚĞŶƚƐ
WŽƌƚƵŐĂů /ƌĞůĂŶĚ ϭ ϭ Ϭ͘ϵ Ϭ͘ϵ Ϭ͘ϴ Ϭ͘ϴ Ϭ͘ϳ Ϭ͘ϳ Ϭ͘ϲ Ϭ͘ϲ Ϭ͘ϱ Ϭ͘ϱ Ϭ͘ϰ Ϭ͘ϰ Ϭ͘ϯ Ϭ͘ϯ Ϭ͘Ϯ Ϭ͘Ϯ Ϭ͘ϭ Ϭ͘ϭ Ϭ Ϭ
ĂŶŬƐ WƌŝǀĂƚĞŶŽŶͲĨŝŶĂŶĐŝĂů EŽŶƌĞƐŝĚĞŶƚƐ ĂŶŬƐ WƌŝǀĂƚĞŶŽŶͲĨŝŶĂŶĐŝĂů EŽŶƌĞƐŝĚĞŶƚƐ
'ƌĞĞĐĞ ĂƚĂĐŽŵĞƐĨƌŽŵŽƵƌƐĂŵƉůĞͲĐŽƵŶƚƌŝĞƐΖĞŶƚƌĂůĂŶŬƐ ĂŶĚDĞƌůĞƌ ĂŶĚ WŝƐĂŶŝͲ&ĞƌƌLJ;ϮϬϭϮͿ͘ dŚĞǀĞƌƚŝĐĂůĂdžŝƐŵĞĂƐƵƌĞƐƚŚĞƌĂƚŝŽŽĨ ϭ Ϭ͘ϵ ĞĂĐŚĚŽŵĞƐƚŝĐƐĞĐƚŽƌΖƐŚŽůĚŝŶŐƐƚŽƚŚĞƚŽƚĂůŽƵƚƐƚĂŶĚŝŶŐ͘&ŽƌĂůů Ϭ͘ϴ ĐŽƵŶƚƌŝĞƐďƵƚ&ƌĂŶĐĞ͕ǁĞƐŚŽǁƚǁŽĐŽŵƉŽŶĞŶƚƐŽĨƌĞƐŝĚĞŶƚƐ͛ Ϭ͘ϳ ŚŽůĚŝŶŐƐ͕ďĂŶŬƐΖŚŽůĚŝŶŐƐĂŶĚƉƌŝǀĂƚĞŶŽŶͲĨŝŶĂŶĐŝĂůŚŽůĚŝŶŐƐ͕ Ϭ͘ϲ Ϭ͘ϱ ǁŚŝĐŚĞƋƵĂůƐŚŽůĚŝŶŐƐďLJŚŽƵƐĞŚŽůĚƐĂŶĚĨŝƌŵƐ͘&Žƌ&ƌĂŶĐĞƚŚĞ Ϭ͘ϰ ďƌĞĂŬĚŽǁŶĂǀĂŝůĂďůĞƉƌĞǀĞŶƚĞĚƵƐĨƌŽŵĚŝƐĞŶƚĂŶŐůŝŶŐƉƵďůŝĐ Ϭ͘ϯ ƐĞĐƚŽƌΖƐŚŽůĚŝŶŐƐĨƌŽŵƉƌŝǀĂƚĞŶŽŶĨŝŶĂŶĐŝĂůŚŽůĚŝŶŐƐ͘ Ϭ͘Ϯ Ϭ͘ϭ Ϭ
ĂŶŬƐ WƌŝǀĂƚĞŶŽŶͲĨŝŶĂŶĐŝĂů EŽŶͲZĞƐŝĚĞŶƚƐ
BANCO DE ESPAÑA 57 DOCUMENTO DE TRABAJO N.º 1402 &ŝŐƵƌĞϲ͘ƌĞĚŝƚĂůůŽĐĂƚŝŽŶ
й'W 'ĞƌŵĂŶLJ й'W &ƌĂŶĐĞ ϭϰϬй ϭϰϬй
ϭϮϬй ϭϮϬй
ϭϬϬй ϭϬϬй
ϴϬй ϴϬй
ϲϬй ϲϬй
ϰϬй ϰϬй
ϮϬй ϮϬй
Ϭй Ϭй
'ĞŶĞƌĂů'ŽǀĞƌŶŵĞŶƚ EŽŶĨŝŶĂŶĐŝĂůĐŽƌƉŽƌĂƚŝŽŶƐ ,ŽƵƐĞŚŽůĚƐ 'ĞŶĞƌĂů'ŽǀĞƌŶŵĞŶƚ EŽŶ&ŝŶĂŶĐŝĂůŽƌƉŽƌĂƚŝŽŶƐ ,ŽƵƐĞŚŽůĚƐ
й'W /ƚĂůLJ й'W ^ƉĂŝŶ ϭϰϬй ϭϰϬй
ϭϮϬй ϭϮϬй
ϭϬϬй ϭϬϬй
ϴϬй ϴϬй
ϲϬй ϲϬй
ϰϬй ϰϬй
ϮϬй ϮϬй
Ϭй Ϭй
'ĞŶĞƌĂů'ŽǀĞƌŶŵĞŶƚ EŽŶĨŝŶĂŶĐŝĂůĐŽƌƉŽƌĂƚŝŽŶƐ ,ŽƵƐĞŚŽůĚƐ 'ĞŶĞƌĂů'ŽǀĞƌŶŵĞŶƚ EŽŶĨŝŶĂŶĐŝĂůĐŽƌƉŽƌĂƚŝŽŶƐ ,ŽƵƐĞŚŽůĚƐ
й'W WŽƌƚƵŐĂů й'W /ƌĞůĂŶĚ ϭϰϬй ϭϰϬй
ϭϮϬй ϭϮϬй
ϭϬϬй ϭϬϬй
ϴϬй ϴϬй
ϲϬй ϲϬй
ϰϬй ϰϬй
ϮϬй ϮϬй
Ϭй Ϭй
'ĞŶĞƌĂů'ŽǀĞƌŶŵĞŶƚ EŽŶĨŝŶĂŶĐŝĂůĐŽƌƉŽƌĂƚŝŽŶƐ ,ŽƵƐĞŚŽůĚƐ 'ĞŶĞƌĂů'ŽǀĞƌŶŵĞŶƚ EŽŶĨŝŶĂŶĐŝĂůĐŽƌƉŽƌĂƚŝŽŶƐ ,ŽƵƐĞŚŽůĚƐ
'ƌĞĞĐĞ й'W ĂƚĂŽŶďĂŶŬĐƌĞĚŝƚƚŽƚŚĞƉƵďůŝĐ͕ĐŽƌƉŽƌĂƚĞĂŶĚŚŽƵƐĞŚŽůĚ ϭϰϬй ƐĞĐƚŽƌƐ ĐŽŵĞƐĨƌŽŵŽƵƌ ƐĂŵƉůĞͲĐŽƵŶƚƌŝĞƐDŽŶĞƚĂƌLJ^ƵƌǀĞLJƐ ϭϮϬй ĂŶĚ &ŝŶĂŶĐŝĂůĐĐŽƵŶƚƐ͘ƌĞĚŝƚŝŶĐůƵĚĞƐďŽƚŚůŽĂŶƐĂŶĚ ϭϬϬй ƐĞĐƵƌŝƚŝĞƐŚŽůĚŝŶŐƐ͘&Žƌ&ƌĂŶĐĞ ĚŝƐĂŐŐƌĞŐĂƚĞĚĚĂƚĂĐŽǀĞƌĞĚ ϴϬй ĂůůĐƌĞĚŝƚŝŶƐƚŝƚƵƚŝŽŶƐ͘&ŽƌƚŚĞƌĞƐƚŽĨŽƵƌƐĂŵƉůĞĐŽƵŶƚƌŝĞƐ
ϲϬй ƚŚĞĚĂƚĂƌĞĨĞƌƐƚŽŽƚŚĞƌŵŽŶĞƚĂƌLJĨŝŶĂŶĐŝĂůŝŶƐƚŝƚƵƚŝŽŶƐ͘
ϰϬй
ϮϬй
Ϭй
'ĞŶĞƌĂů'ŽǀĞƌŶŵĞŶƚ EŽŶĨŝŶĂŶĐŝĂůĐŽƌƉŽƌĂƚŝŽŶƐ ,ŽƵƐĞŚŽůĚƐ
BANCO DE ESPAÑA 58 DOCUMENTO DE TRABAJO N.º 1402 &ŝŐƵƌĞϳ͘WƌŝǀĂƚĞǀĞƌƐƵƐƉƵďůŝĐĐƌĞĚŝƚĂŶĚƐŽǀĞƌĞŝŐŶƐƉƌĞĂĚƐ
'ĞƌŵĂŶLJ &ƌĂŶĐĞ ƉƐ Ϭ͘ϲ Ϭ͘ϲ ϭϮϬϬ
Ϭ͘ϱ Ϭ͘ϱ ϭϬϬϬ
Ϭ͘ϰ Ϭ͘ϰ ϴϬϬ
Ϭ͘ϯ Ϭ͘ϯ ϲϬϬ
Ϭ͘Ϯ Ϭ͘Ϯ ϰϬϬ
Ϭ͘ϭ Ϭ͘ϭ ϮϬϬ
Ϭ Ϭ Ϭ
WƵďůŝĐƐĞĐƚŽƌĐƌĞĚŝƚŽǀĞƌƉƌŝǀĂƚĞƐĞĐƚŽƌĐƌĞĚŝƚ WƵďůŝĐƐĞĐƚŽƌĐƌĞĚŝƚŽǀĞƌƉƌŝǀĂƚĞƐĞĐƚŽƌĐƌĞĚŝƚ ^ƉƌĞĂĚ;Z,^Ϳ
/ƚĂůLJ ^ƉĂŝŶ ƉƐ ƉƐ Ϭ͘ϲ ϭϮϬϬ Ϭ͘ϲ ϭϮϬϬ
Ϭ͘ϱ ϭϬϬϬ Ϭ͘ϱ ϭϬϬϬ
Ϭ͘ϰ ϴϬϬ Ϭ͘ϰ ϴϬϬ
Ϭ͘ϯ ϲϬϬ Ϭ͘ϯ ϲϬϬ
Ϭ͘Ϯ ϰϬϬ Ϭ͘Ϯ ϰϬϬ
Ϭ͘ϭ ϮϬϬ Ϭ͘ϭ ϮϬϬ
Ϭ Ϭ Ϭ Ϭ
WƵďůŝĐƐĞĐƚŽƌĐƌĞĚŝƚŽǀĞƌƉƌŝǀĂƚĞƐĞĐƚŽƌĐƌĞĚŝƚ ^ƉƌĞĂĚ;Z,^Ϳ WƵďůŝĐƐĞĐƚŽƌĐƌĞĚŝƚŽǀĞƌƉƌŝǀĂƚĞƐĞĐƚŽƌĐƌĞĚŝƚ ^ƉƌĞĂĚ;Z,^Ϳ
WŽƌƚƵŐĂů /ƌĞůĂŶĚ ƉƐ ƉƐ Ϭ͘ϲ ϭϮϬϬ Ϭ͘ϲ ϭϮϬϬ
Ϭ͘ϱ ϭϬϬϬ Ϭ͘ϱ ϭϬϬϬ
Ϭ͘ϰ ϴϬϬ Ϭ͘ϰ ϴϬϬ
Ϭ͘ϯ ϲϬϬ Ϭ͘ϯ ϲϬϬ
Ϭ͘Ϯ ϰϬϬ Ϭ͘Ϯ ϰϬϬ
Ϭ͘ϭ ϮϬϬ Ϭ͘ϭ ϮϬϬ
Ϭ Ϭ Ϭ Ϭ
WƵďůŝĐƐĞĐƚŽƌĐƌĞĚŝƚŽǀĞƌƉƌŝǀĂƚĞƐĞĐƚŽƌĐƌĞĚŝƚ ^ƉƌĞĂĚ;Z,^Ϳ WƵďůŝĐƐĞĐƚŽƌĐƌĞĚŝƚŽǀĞƌƉƌŝǀĂƚĞƐĞĐƚŽƌĐƌĞĚŝƚ ^ƉƌĞĂĚ;Z,^Ϳ
'ƌĞĞĐĞ ĂƚĂŽŶĐƌĞĚŝƚĐŽŵĞƐĨƌŽŵEĂƚŝŽŶĂůĞŶƚƌĂůĂŶŬƐΖDŽŶĞƚĂƌLJ ƉƐ Ϭ͘ϲ ϰϬϬϬ ^ƵƌǀĞLJƐ ĂŶĚƐĂŵƉůĞĐŽƵŶƚƌŝĞƐΖĨŝŶĂŶĐŝĂůĂĐĐŽƵŶƚƐ͘ ĂƚĂŽŶ ƐŽǀĞƌĞŝŐŶƐƉƌĞĂĚƐ͕ĨƌŽŵĂƚĂƐƚƌĞĂŵ͕ƌĞĨĞƌƐƚŽƚŚĞĚŝĨĨĞƌĞŶĐĞ ϯϱϬϬ Ϭ͘ϱ ďĞƚǁĞĞŶƚŚĞĐŽƌƌĞƐƉŽŶĚŝŶŐϭϬ LJĞĂƌďĞŶĐŚŵĂƌŬďŽŶĚĂŶĚƚŚĞ ϯϬϬϬ 'ĞƌŵĂŶϭϬLJĞĂƌƵŶĚ͘^ƉƌĞĂĚƐ͕ŵĞĂƐƵƌĞĚŝŶďĂƐŝƐƉŽŝŶƚƐ͕ĂƌĞ Ϭ͘ϰ ϮϱϬϬ ƉƌĞƐĞŶƚĞĚŽŶƚŚĞƌŝŐŚƚŚĂŶĚƐŝĚĞĂdžŝƐ͘dŚĞƌŝŐŚƚŚĂŶĚƐŝĚĞĂdžŝƐĨŽƌ Ϭ͘ϯ ϮϬϬϬ 'ƌĞĞĐĞƉƌĞƐĞŶƚƐĂĚŝĨĨĞƌĞŶƚƐĐĂůĞƚŽ ďĞƚƚĞƌĐŽůůĞĐƚƚŚĞũƵŵƉŝŶƚŚĞ ϭϱϬϬ ƐŽǀĞƌĞŝŐŶƐƉƌĞĂĚ ŝŶϮϬϭϭ͘ Ϭ͘Ϯ ϭϬϬϬ Ϭ͘ϭ ϱϬϬ Ϭ Ϭ
WƵďůŝĐƐĞĐƚŽƌĐƌĞĚŝƚŽǀĞƌƉƌŝǀĂƚĞƐĞĐƚŽƌĐƌĞĚŝƚ ^ƉƌĞĂĚ;Z,^Ϳ
BANCO DE ESPAÑA 59 DOCUMENTO DE TRABAJO N.º 1402 &ŝŐƵƌĞϴ͘^ŽǀĞƌĞŝŐŶĂŶĚƉƌŝǀĂƚĞƐƉƌĞĂĚƐ
'ĞƌŵĂŶLJ &ƌĂŶĐĞ ϭϲϬϬ ϭϲϬϬ ϭϰϬϬ ϭϰϬϬ ϭϮϬϬ ϭϮϬϬ ϭϬϬϬ ϭϬϬϬ ϴϬϬ ϴϬϬ ϲϬϬ ϲϬϬ ϰϬϬ ϰϬϬ ϮϬϬ ϮϬϬ Ϭ Ϭ
ŽŶƐƵŵĞƌ ŽƌƉŽƌĂƚĞ ŽŶƐƵŵĞƌ ŽƌƉŽƌĂƚĞ ^ŽǀĞƌĞŝŐŶ
/ƚĂůLJ ^ƉĂŝŶ^ƉĂŝŶ ϭϲϬϬ ϭϲϬϬ ϭϰϬϬ ϭϰϬϬ ϭϮϬϬ ϭϮϬϬ ϭϬϬϬ ϭϬϬϬ ϴϬϬ ϴϬϬ ϲϬϬ ϲϬϬ ϰϬϬ ϰϬϬ ϮϬϬ ϮϬϬ Ϭ Ϭ
ŽŶƐƵŵĞƌ ŽƌƉŽƌĂƚĞ ^ŽǀĞƌĞŝŐŶ ŽŶƐƵŵĞƌ ŽƌƉŽƌĂƚĞ ^ŽǀĞƌĞŝŐŶ
WŽƌƚƵŐĂů /ƌĞůĂŶĚ ϭϲϬϬ ϭϲϬϬ ϭϰϬϬ ϭϰϬϬ ϭϮϬϬ ϭϮϬϬ ϭϬϬϬ ϭϬϬϬ ϴϬϬ ϴϬϬ ϲϬϬ ϲϬϬ ϰϬϬ ϰϬϬ ϮϬϬ ϮϬϬ Ϭ Ϭ
ŽŶƐƵŵĞƌ ŽƌƉŽƌĂƚĞ ^ŽǀĞƌĞŝŐŶ ŽŶƐƵŵĞƌ ŽƌƉŽƌĂƚĞ ^ŽǀĞƌĞŝŐŶ
'ƌĞĞĐĞ ĂƚĂŽŶLJŝĞůĚƐŽŶĐŽƌƉŽƌĂƚĞůŽĂŶƐĂŶĚĐŽŶƐƵŵƉƚŝŽŶůŽĂŶƐĨŽƌ ŚŽƵƐĞŚŽůĚƐĐŽŵĞĨƌŽŵ,ĂǀĞƌŶĂůLJƚŝĐƐ͘ŽƌƉŽƌĂƚĞ LJŝĞůĚƐƌĞĨĞƌƚŽ ϰϬϬϬ ŽƉĞƌĂƚŝŽŶƐĂďŽǀĞϭŵŝůůŝŽŶĞƵƌŽĂŶĚŵĂƚƵƌŝƚŝĞƐďĞƚǁĞĞŶϭĂŶĚϱ ϯϱϬϬ LJĞĂƌƐĨŽƌĂůůĐŽƵŶƚƌŝĞƐďƵƚ'ƌĞĞĐĞ͕ǁŚĞƌĞůŽŶŐƚŝŵĞƐĞƌŝĞƐǁĞƌĞ ϯϬϬϬ ŽŶůLJĂǀĂŝůĂďůĞĨŽƌƐŚŽƌƚƚĞƌŵůŽĂŶƐ;ƵƉƚŽŽŶĞLJĞĂƌͿ͕ĂŶĚ/ƌĞůĂŶĚ ϮϱϬϬ ĂŶĚWŽƌƚƵŐĂů͕ǁŚĞƌĞƚŚĞLJŝĞůĚƌĞĨĞƌƐƚŽĂůůŵĂƚƵƌŝƚŝĞƐ͘,ŽƵƐĞŚŽůĚ ϮϬϬϬ LJŝĞůĚƐƌĞĨĞƌƚŽŽƉĞƌĂƚŝŽŶƐǁŝƚŚŵĂƚƵƌŝƚŝĞƐďĞƚǁĞĞŶϭĂŶĚϱLJĞĂƌƐ ϭϱϬϬ ĨŽƌĂůůƐĂŵƉůĞĐŽƵŶƚƌŝĞƐ͘^ŽǀĞƌĞŝŐŶϱLJĞĂƌLJŝĞůĚƐǁĞƌĞĂůƐŽ ϭϬϬϬ ŽďƚĂŝŶĞĚĨƌŽŵ,ĂǀĞƌŶĂůLJƚŝĐƐ͘ůůƚŚĞƐƉƌĞĂĚƐĂŵĞĂƐƵƌĞĚ ϱϬϬ ĂŐĂŝŶƐƚƚŚĞϱ LJĞĂƌ 'ĞƌŵĂŶƵŶĚ ĂŶĚƉƌĞƐĞŶƚĞĚŝŶďĂƐŝƐ Ϭ ƉŽŝŶƚƐ͘dŚĞƌŝŐŚƚŚĂŶĚƐŝĚĞĂdžŝƐĨŽƌ'ƌĞĞĐĞƉƌĞƐĞŶƚƐĂĚŝĨĨĞƌĞŶƚ ƐĐĂůĞƚŽ ďĞƚƚĞƌĐŽůůĞĐƚƚŚĞũƵŵƉŝŶƚŚĞƐŽǀĞƌĞŝŐŶƐƉƌĞĂĚ ŝŶϮϬϭϭ͘
ŽŶƐƵŵĞƌ ŽƌƉŽƌĂƚĞ ^ŽǀĞƌĞŝŐŶ
BANCO DE ESPAÑA 60 DOCUMENTO DE TRABAJO N.º 1402 t k ∗ k ◦ 45 No Discrimination Discrimination +1 t k
BANCO DE ESPAÑA 61 DOCUMENTO DE TRABAJO N.º 1402 t d ◦ 45 t t k k t d +1 t p Baseline Increase in Baseline Decrease in An increase in debt A decrease in the probability of repayment +1 +1 t t k k +1 t p
BANCO DE ESPAÑA 62 DOCUMENTO DE TRABAJO N.º 1402 ◦ 45 t t k k ∗ H k +1 t p ∗ L k Panel (d): high default probability Panel (b): small default probability +1 +1 t t k k t t k k ∗ H ∗ H k k ∗ M k ∗ L k Panel (a): zero default probability +1 +1 t t d k k Panel (c): intermediate default probability
BANCO DE ESPAÑA 63 DOCUMENTO DE TRABAJO N.º 1402 t k ◦ Pessimistic law of motion Optimistic law of motion 45 +1 t k
BANCO DE ESPAÑA 64 DOCUMENTO DE TRABAJO N.º 1402 t t k k ∗ H ∗ H k k ∗ L k ∗ L k Panel (b): absorbing high steady state ◦ +1 +1 t t 45 k k Panel (d): both steady states outside the crisis zone t t k k ∗ H ∗ H k k ∗ L k ∗ L k Panel (c): absorbing low steady state +1 +1 t t Panel (a): both steady states in the crisis zone k k φ α
BANCO DE ESPAÑA 65 DOCUMENTO DE TRABAJO N.º 1402 t k Outside the union Inside the union +1 t k ◦ 45
BANCO DE ESPAÑA 66 DOCUMENTO DE TRABAJO N.º 1402 30 30 South North 25 25 South North 20 20 15 15 Time Time 10 10 5 5 0 0
Panel (b): Low debt, high breakup probability 0 0 Panel (d): High debt, high breakup probability
0.4 0.2 0.4 0.2 aia Stock Capital Stock Capital =6 t 30 30 South North 25 25 South North d 20 20 15 15 Time Time 10 10 5 5 0 0 Panel (a): Low debt, low breakup probability Panel (c): High debt, low breakup probability
0 0
0.4 0.2 0.4 0.2 aia Stock Capital Stock Capital
BANCO DE ESPAÑA 67 DOCUMENTO DE TRABAJO N.º 1402 BANCO DE ESPAÑA PUBLICATIONS
WORKING PAPERS
1220 ENRIQUE ALBEROLA, LUIS MOLINA and PEDRO DEL RÍO: Boom-bust cycles, imbalances and discipline in Europe. 1221 CARLOS GONZÁLEZ-AGUADO and ENRIQUE MORAL-BENITO: Determinants of corporate default: a BMA approach. 1222 GALO NUÑO and CARLOS THOMAS: Bank leverage cycles. 1223 YUNUS AKSOY and HENRIQUE S. 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A view focusing on the role of credit. 1241 MATTEO CICCARELLI, EVA ORTEGA and MARIA TERESA VALDERRAMA: Heterogeneity and cross-country spillovers in macroeconomic-fi nancial linkages. 1242 GIANCARLO CORSETTI, LUCA DEDOLA and FRANCESCA VIANI: Traded and nontraded goods prices, and international risk sharing: an empirical investigation. 1243 ENRIQUE MORAL-BENITO: Growth empirics in panel data under model uncertainty and weak exogeneity. 1301 JAMES COSTAIN and ANTON NAKOV: Logit price dynamics. 1302 MIGUEL GARCÍA-POSADA: Insolvency institutions and effi ciency: the Spanish case. 1303 MIGUEL GARCÍA-POSADA and JUAN S. MORA-SANGUINETTI: Firm size and judicial effi cacy: evidence for the new civil procedures in Spain. 1304 MAXIMO CAMACHO and GABRIEL PEREZ-QUIROS: Commodity prices and the business cycle in Latin America: living and dying by commodities? 1305 CARLOS PÉREZ MONTES: Estimation of regulatory credit risk models. 1306 FERNANDO LÓPEZ VICENTE: The effect of foreclosure regulation: evidence for the US mortgage market at state level. 1307 ENRIQUE MORAL-BENITO and LUIS SERVEN: Testing weak exogeneity in cointegrated panels. 1308 EMMA BERENGUER, RICARDO GIMENO and JUAN M. NAVE: Term structure estimation, liquidity-induced heteroskedasticity and the price of liquidity risk. 1309 PABLO HERNÁNDEZ DE COS and ENRIQUE MORAL-BENITO: Fiscal multipliers in turbulent times: the case of Spain. 1310 SAMUEL HURTADO: DSGE models and the Lucas critique. 1311 HENRIQUE S. 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A survey of the recently proposed algorithms. 1319 CARLOS PÉREZ MONTES: The impact of interbank and public debt markets on the competition for bank deposits. 1320 OLYMPIA BOVER, JOSE MARIA CASADO, SONIA COSTA, PHILIP DU CAJU, YVONNE MCCARTHY, EVA SIERMINSKA, PANAGIOTA TZAMOURANI, ERNESTO VILLANUEVA and TIBOR ZAVADIL: The distribution of debt across euro area countries: the role of Individual characteristics, institutions and credit conditions. 1321 BRINDUSA ANGHEL, SARA DE LA RICA and AITOR LACUESTA: Employment polarisation in Spain over the course of the 1997-2012 cycle. 1322 RODOLFO G. CAMPOS and ILIANA REGGIO: Measurement error in imputation procedures. 1323 PABLO BURRIEL and MARÍA ISABEL GARCÍA-BELMONTE: Meeting our D€STINY. A Disaggregated €uro area Short Term INdicator model to forecast GDP (Y) growth. 1401 TERESA SASTRE and FRANCESCA VIANI: Countries’ safety and competitiveness, and the estimation of current account misalignments. 1402 FERNANDO BRONER, ALBERTO MARTIN, AITOR ERCE and JAUME VENTURA: Sovereign debt markets in turbulent times: creditor discrimination and crowding-out effects.
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