Sovereign default contagion was one of the most debated topics during the Eurozone sovereign debt crisis. Despite all the improvements in the financial situation since 2010, namely after European Central Bank quantitative easing policies, the nature of the problem and the policy prescriptions are still under dispute today. Using an agent-based model, we simulate sovereign default contagion for different monetary policy options in a world where governments have random incomes, different heterogeneous borrowing behaviors and risk aversion levels and where countries can enter into ex-ante agreements to protect themselves against default. Our simulations showed that default contagion can be a very fast and “destructive” process, and that monetary policy can have a very important role in preventing sovereign defaults through zero interest rate and quantitative easing policies.

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基于代理的模型中的主权违约蔓延和货币政策

主权违约蔓延是欧元区主权债务危机期间最受争议的话题之一。尽管自 2010 年以来，即在欧洲央行量化宽松政策之后，金融状况有所改善，但问题的性质和政策处方至今仍存在争议。使用基于代理的模型，我们模拟了在政府具有随机收入、不同的异质借贷行为和风险规避水平以及各国可以签订事前协议以保护自己免受违约的世界中，不同货币政策选项的主权违约蔓延。我们的模拟表明，默认传染可能是一个非常快速且“破坏性”的过程，