兼具優先債與次級債的主權債務模型下的最適違約與匯率貶值行為

Abstract

主權債務違約與匯率貶值經常同步發生(Reinhart, 2002)。此外，政府時常只對次級債違約，並持續償還優先債(Reinhart and Trebesch, 2016; Schlegl, Trebesch, and Wright, 2019)。本文結合 Na et al. (2018) 和 Ho and Ritschl (2024) 的研究，建立了一個兼具優先債與次級債的模型，並探討了選擇性違約與完全違約時不同的匯率貶值動態。研究發現，與完全違約時相比，選擇性違約時的最適決策需要更大的匯率貶值幅度和更快的匯率回升速度。選擇性違約的典型情境發生在經濟繁榮後的蕭條時期；給定同樣大的產出負面衝擊，造成的消費緊縮比完全違約時更嚴重，使得最適決策需要更大幅度的匯率貶值。在選擇性違約的情境下，政府能通過借入優先債來平滑消費，使匯率更快地回升至低於原均衡的新均衡。

Defaults on sovereign debt and exchange rate devaluation often occur in tandem (Reinhart, 2002). Additionally, governments often default only on junior debt while continuing to repay senior debt (Reinhart and Trebesch, 2016; Schlegl, Trebesch, and Wright, 2019). This research combines the studies of Na et al. (2018) and Ho and Ritschl (2024) to develop a model that incorporates both senior and junior debts, and explores the different dynamics of exchange rate devaluation in the case of selective versus full default. We find that the optimal decision in the case of selective default requires a larger exchange rate devaluation and a faster exchange rate recovery than in the case of full default. The typical scenario for selective default occurs during a bust following an economic boom; given a negative output shock of the same magnitude, the resulting consumption crunch is more severe than in the case of full default, making the optimal decision require a larger exchange rate devaluation. In a selective default scenario, the government is able to smooth consumption by borrowing senior debt, allowing the exchange rate to recover more quickly to a new equilibrium lower than the original.