L'insoutenable dynamique de la dette. Une analyse macroéconomique du défaut souverain
The macroeconomic sustainability of public debt is addressed when the interaction between fiscal and monetary policies is taken into account, as well as the possibility of default. Taking into account a rule of default, we distinguish the ?default threshold? from the ?unsustainability threshold?. The former one corresponds to the upper limit to public debt ; the latter one to the level above which, absent any further shock, the dynamics of public debt leads to future default. When this threshold is exceeded, the risk premium is high enough so as to generate future default, which itself feeds the risk premium. When a default occurs, the haircut applied on the existing amount of debt depends on the default rule. We show that a ?successful default? is such that the ex post debt level is sustainable, which means that the ex post default risk premium is small enough and thus leads to a decreasing debt to GDP ratio. This implies that the haircut on public debt must be high enough.
Volume (Year): 122 (2012)
Issue (Month): 6 ()
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