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  1. 117 経済学研究科・経済学部
  2. Working Papers on Central Bank Communication
  1. 0 資料タイプ別
  2. 60 レポート類
  3. 063 ワーキングペーパー

Debt Intolerance : Threshold Level and Composition

http://hdl.handle.net/2261/00078971
http://hdl.handle.net/2261/00078971
78f657b7-ed92-4cd1-83b2-71e113055fee
名前 / ファイル ライセンス アクション
cb-wp014.pdf cb-wp014.pdf (609.2 kB)
Item type テクニカルレポート / Technical Report(1)
公開日 2020-01-31
タイトル
タイトル Debt Intolerance : Threshold Level and Composition
言語
言語 eng
キーワード
主題Scheme Other
主題 Generalized panel smooth transition regression
キーワード
主題Scheme Other
主題 Expected public debt-to-GDP ratio
キーワード
主題Scheme Other
主題 Foreign private investors
キーワード
主題Scheme Other
主題 Long-term interest rate
資源タイプ
資源 http://purl.org/coar/resource_type/c_18gh
タイプ technical report
著者 Matsuoka, Hideaki

× Matsuoka, Hideaki

WEKO 159844

Matsuoka, Hideaki

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著者所属
著者所属 World Bank
抄録
内容記述タイプ Abstract
内容記述 Fiscal vulnerabilities depend on both the level and composition of government debt. This study investigates this threshold level of debt and its composition to understand the non-linear behavior of the long-term interest rate by developing a novel approach: a panel smooth transition regression with a general logistic model (i.e., a generalized panel smooth transition regression). Our main findings are threefold: (i) the impact of the expected public debt on the interest rate would increase exponentially and significantly as the foreign private holdings ratio exceeds approximately 20 percent; otherwise, strong home bias would mitigate the upward pressure of an increase in public debt on the interest rate; (ii) if the expected public debt-to-GDP ratio exceeds a certain level that depends on the funding source, an increase in foreign private holdings of government debt would cause a rise in long-term interest rates, offsetting the downward effect on long-term interest rates by expanding market liquidity; and (iii) out-of-sample forecast of our novel non-linear model is more accurate than those of previous methods. As such, the composition of government debt plays an important role in the highly non-linear behavior of the long-term interest rate.
内容記述
内容記述タイプ Other
内容記述 Publisher's another name: JSPS Grants-in-Aid for Scientific Research (S) Central Bank Communication Design
内容記述
内容記述タイプ Other
内容記述 JEL Codes: E43,E62,H63
書誌情報 Working Papers on Central Bank Communication

巻 014, 発行日 2020-01
著者版フラグ
値 publisher
出版者
出版者 Research Project on Central Bank Communication
関係URI
識別子タイプ URI
関連識別子 http://www.centralbank.e.u-tokyo.ac.jp/en/category/research-data/
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