A note on Chui, Gai and Haldane’s “Sovereign liquidity crisis: Analytics and implications for public policy”

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• 作者：Dina Dreisbach ; Fabian Kindermann
• 关键词：Sovereign debt ; Liquidity crisis
• 刊名：Journal of Banking and Finance
• 出版年：2008
• 出版时间：April 2008
• 年：2008
• 卷：32
• 期：4
• 页码：624-629
• 全文大小：213 K

文摘

This note corrects the welfare calculations in Chui, Gai and Haldane’s paper on sovereign liquidity crisis [Chui, M., Gai, P., Haldane, A.G., 2002. Sovereign liquidity crisis: Analytics and implications for public policy. Journal of Banking and Finance 26, 519–544]. We show that the exact formula not only dramatically reduces the computed welfare consequences from 66 % of ex-ante expected output to roughly 13 % , but also changes the direction of some reported comparative static results. In addition, we clarify the difference between fundamentals-driven and belief-driven welfare costs and extend some of the sensitivity calculations.