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Sovereign risk, interbank freezes, and aggregate fluctuations

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  • Engler, Philipp
  • Grosse Steffen, Christoph
Abstract
This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank intermediation that induces a credit crunch. Government borrowing under limited commitment is costly ex ante as bank funding conditions tighten when the quality of collateral drops. This lowers the penalty from an interbank freeze and feeds back into default risk. The arising amplification mechanism propagates aggregate shocks to the macro-economy. The model is calibrated using Spanish data and is capable of reproducing key business cycle statistics alongside stylized facts during the European sovereign debt crisis. JEL Classification: E43, E44, F34, H63

Suggested Citation

  • Engler, Philipp & Grosse Steffen, Christoph, 2015. "Sovereign risk, interbank freezes, and aggregate fluctuations," Working Paper Series 1840, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20151840
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    More about this item

    Keywords

    Bank-sovereign link; Domestic debt; interbank market; Non-Ricardian effects; Occasionally binding constraint; secondary markets; sovereign default;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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