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タイトル: Why Prices Don't Respond Sooner to a Prospective Sovereign Debt Crisis
著者: Braun, R. Anton
Nakajima, Tomoyuki
キーワード: sovereign debt crisis
defl ation
fiscal risk
leverage
borrowing constraint
発行日: Nov-2011
出版者: Institute of Economic Research, Kyoto University
誌名: KIER Discussion Paper
巻: 796
抄録: We compare the dynamics of in flation and bond yields leading up to a sovereign debt crisis in settings where asset markets are frictionless to other settings with financial fric- tions. As compared to the case with frictionless asset markets, an asset market structure with financial frictions generates a significant delay in the response of prices to news about a future debt crisis. With complete markets prices jump in response to news about the possibility of a future debt crisis. However, when short selling of government bonds is restricted some agents can't act on their beliefs and prices don't respond to the news. Instead prices only move in periods immediately prior the crisis.
URI: http://hdl.handle.net/2433/149247
出現コレクション:KIER Discussion Paper (英文版)

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