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Article

Фискальная теория суверенного риска: модель валютного союза

Горизонты экономики. 2013. № 6(11). С. 81-92.

In recent years some economies of the European Monetary Union (EMU) found themselves facing fiscal stress, with fiscal policy no longer able to insure the sustainability of government debt. In presence of sovereign risks the impact of the European Central Bank’s policy on inflation and debt dynamics may change dramatically. This paper presents a simple two-country model of a monetary union, in which one country faces fiscal stress, while the other country adjusts fiscal surpluses in line with debt sustainability criteria. Studying the relationship between fiscal and monetary policy, equilibrium inflation and the default rate, we have obtained the following results. Fiscally prudent government can reduce equilibrium inflation and the default rate by setting fiscal surpluses above the level necessary to insure sustainability of its debt. However, such policy comes at a price of wealth redistributions towards residents of the country facing fiscal limits. At the same time, under fiscal stress aggressive Taylor-rule based inflation targeting may result in unstable equilibria associated with hyperinflation or liquidity traps.