Study Center Gerzensee
Institutional Affiliations: Study Center Gerzensee and University of Bern
NBER Working Papers and Publications
|May 2019||On the Equivalence of Private and Public Money|
with Markus K. Brunnermeier: w25877
We develop a generic model of money and liquidity that identifies sources of liquidity bubbles and seignorage rents. We provide sufficient conditions under which a swap of monies leaves the equilibrium allocation and price system unchanged. We apply the equivalence result to the "Chicago Plan,'' cryptocurrencies, the Indian de-monetization experiment, and Central Bank Digital Currency (CBDC). In particular, we show why CBDC need not undermine financial stability.
Published: Markus K. Brunnermeier & Dirk Niepelt, 2019. "On the Equivalence of Private and Public Money," Journal of Monetary Economics, . citation courtesy of
|September 2017||Sovereign Bond Prices, Haircuts and Maturity|
with Tamon Asonuma, Romain Rancière: w23864
Rejecting a common assumption in the sovereign debt literature, we document that creditor losses ("haircuts") during sovereign restructuring episodes are asymmetric across debt instruments. We code a comprehensive dataset on instrument-specific haircuts for 28 debt restructurings with private creditors in 1999-2015 and find that haircuts on shorter-term debt are larger than those on debt of longer maturity. In a standard asset pricing model, we show that increasing short-run default risk in the run-up to a restructuring episode can explain the stylized fact. The data confirms the predicted relation between perceived default risk, bond prices, and haircuts by maturity.
Published: Tamon Asonuma & Dirk Niepelt & Romain Ranciere, 2017. "Sovereign Bond Prices, Haircuts and Maturity," IMF Working Papers, vol 17(119).
|March 2016||Sovereign Debt with Heterogeneous Creditors|
with Harris Dellas
in NBER International Seminar on Macroeconomics 2015, Michael B. Devereux, Francesco Giavazzi, and Kenneth D. West, editors