This paper studies the circular relationship between sovereign credit risk, government fiscal and debt policy, and output. I consider a sovereign default model with fiscal policy and private capital accumulation. I show that, when fiscal policy responds to borrowing conditions in the sovereign debt market, multiple equilibria exist where the expectations of lenders are self-fulfilling. In the bad equilibrium, pessimistic beliefs make sovereign debt costly. The government substitutes borrowing with taxation, which depresses private investment and future output, increases default probabilities and verifies lenders' beliefs. This result is reminiscent of the European debt crisis of 2010–12: while recessionary, fiscal austerity may be the government best response to excessive borrowing costs during a confidence crisis. The extent of this type of crises can be reduced by the intervention of an external official lender committing to provide liquidity, or by policies aimed at sustaining private investment.

本文研究了主权信用风险，政府财政和债务政策以及产出之间的循环关系。我考虑了具有财政政策和私人资本积累的主权违约模型。我表明，当财政政策对主权债务市场的借贷条件做出反应时，存在多种均衡，而放贷者的期望是自我实现的。在糟糕的均衡中，悲观的信念会使主权债务付出高昂的代价。政府用税收代替借贷，这压低了私人投资和未来产出，增加了违约概率并验证了贷方的信念。这一结果让人联想到2010-12年的欧洲债务危机：虽然经济衰退，但财政紧缩可能是政府在信心危机期间对过多借贷成本的最佳应对措施。