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Interest-Rate Spread and Public-Debt Dynamics in a Two-Country Monetary-Union Portfolio Model

机译：两国货币联盟投资组合模型中的利率利差和公共债务动态

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摘要

Tracking, monitoring and steering the evolution of public debt over time will be a major policy challenge for almost all governments in the advanced countries in the years to come, in particular for those belonging to the European Monetary Union. In this paper I study public debt dynamics in a two-country monetary union where a representative, risk-averse wealth-owner optimizes his/her portfolio of sovereign bonds issued in the common currency. I obtain two main results with respect to the standard country-by-country approach. First, the interest-rate spread between the two countries is endogenized as the higher-debt country pays a risk premium which is proportional to the level of its own debt with respect to the debt of the other. Second, its debt dynamic path becomes nonlinear and dependent on the evolution of the other country's debt. The most important policy implication is that "dynamic interdependence" is not fully considered in the implementation of EMU fiscal rules, but it may may jeopardize their goal of convergence and stability of debt stocks.
机译：跟踪，监控和控制公共债务随着时间的推移将是未来几年几乎所有发达国家政府的一项重大政策挑战，特别是对于那些属于欧洲货币联盟的国家而言。在本文中，我研究了两个国家的货币联盟中的公共债务动态，在该联盟中，有代表性的，规避风险的财富所有者优化了他/她以普通货币发行的主权债券的投资组合。关于标准的逐个国家方法，我获得了两个主要结果。首先，两国之间的利差是内生的，因为高负债国家支付的风险溢价与本国债务相对于另一国债务的水平成正比。其次，其债务动态路径变得非线性，并依赖于另一国债务的演变。最重要的政策含义是，在实施欧洲货币联盟的财政规则时并未充分考虑“动态相互依存”，但可能会损害其债务存量的趋同和稳定的目标。

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