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首页> 外文期刊>Journal of International Money and Finance >Commodity price risk management and fiscal policy in a sovereign default model
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Commodity price risk management and fiscal policy in a sovereign default model

机译：主权债务违约模型中的商品价格风险管理和财政政策

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摘要

Commodity prices are an important driver of fiscal policy and the business cycle in many developing and emerging market economies. We analyze a dynamic stochastic small-open-economy model of sovereign default, featuring endogenous fiscal policy and stochastic commodity revenues. The model accounts for a positive correlation of commodity revenues with government expenditures and a negative correlation with tax rates. We quantitatively document the extent to which the utilization of different financial hedging instruments by the government contributes to lowering the volatility of different macroeconomic variables and their correlation with commodity revenues. An event analysis illustrates how financial hedging instruments moderate fiscal adjustment in response to significant falls in the price of commodities. We evaluate the conditional and unconditional welfare gains for the representative household, generated by financial derivatives and commodity-indexed bonds. (C) 2017 Elsevier Ltd. All rights reserved.
机译：在许多发展中国家和新兴市场经济体中，商品价格是财政政策和商业周期的重要驱动力。我们分析了主权违约的动态随机小开放经济模型，该模型具有内生性财政政策和随机商品收入。该模型说明商品收入与政府支出呈正相关，与税率呈负相关。我们定量地记录了政府利用不同的金融对冲工具在多大程度上有助于降低各种宏观经济变量的波动性以及它们与商品收入的相关性。事件分析表明，金融套期保值工具如何应对商品价格的大幅下跌而适度地进行财政调整。我们评估了由金融衍生品和大宗商品指数债券产生的代表家庭的有条件和无条件福利收益。 （C）2017 Elsevier Ltd.保留所有权利。

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