文献类型：期刊文献

英文题名：Government spending shocks and default risk in emerging markets

作者：Jiang, Ming[1];Li, Jingchao[2]

机构：[1]Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai, Peoples R China;[2]East China Univ Sci & Technol, Sch Business, Shanghai, Peoples R China

年份：2023

卷号：18

期号：7

外文期刊名：PLOS ONE

收录：;WOS:【SCI-EXPANDED(收录号:WOS:001035045000087)】；

基金：We would like to thank Bill Dupor, Paul Evans, Pok-Sang Lam, and Byoung Hoon Seok for valuable comments and suggestions.

语种：英文

摘要：The coronavirus pandemic has revived interest in the effects of fiscal policy. This paper studies the effects of government spending on default risk in emerging economies. We first build a general equilibrium small open economy model where government spending shocks influence external debt and sovereign bond spreads. We show that external debt piles up and sovereign bond spreads increase following a government spending shock. We then develop VAR evidence based on a panel of 18 countries. We find that in response to a 10% government spending increase, (1) the real effective exchange rate appreciates by 1.0% and the current account to GDP ratio deteriorates by 0.0025 on impact; (2) external debt increases by an average of 3.5% in the year following the shock; and (3) the EMBI Global spread rises by an average of 25 basis points within two years and peaks at 132 basis points 14 quarters after the shock, suggesting a higher sovereign default risk. The empirical results confirm the theoretical predictions from the general equilibrium model.