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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 |
|---|---|---|
cb-wp014.pdf (609.2 kB)
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| 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 | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | technical report | |||||
| 著者 |
Matsuoka, Hideaki
× Matsuoka, Hideaki |
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| 著者所属 | ||||||
| 値 | 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/ | |||||
