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Debt Intolerance : Threshold Level and Composition
http://hdl.handle.net/2261/00078971
http://hdl.handle.net/2261/0007897178f657b7-ed92-4cd1-83b2-71e113055fee
名前 / ファイル | ライセンス | アクション |
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cb-wp014.pdf (609.2 kB)
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Item type | テクニカルレポート / Technical Report(1) | |||||
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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 | Generalized panel smooth transition regression | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Expected public debt-to-GDP ratio | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Foreign private investors | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Long-term interest rate | |||||
主題Scheme | Other | |||||
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 |
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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 |
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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/ |