{"created":"2021-03-01T07:15:26.884939+00:00","id":53854,"links":{},"metadata":{"_buckets":{"deposit":"4eab2977-19f8-4a5f-b2f4-586ca19ac910"},"_deposit":{"id":"53854","owners":[],"pid":{"revision_id":0,"type":"depid","value":"53854"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00053854","sets":["62:7892","9:7435:7439"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2020-01","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"014","bibliographic_titles":[{"bibliographic_title":"Working Papers on Central Bank Communication"}]}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Publisher's another name: JSPS Grants-in-Aid for Scientific Research (S) Central Bank Communication Design","subitem_description_type":"Other"},{"subitem_description":"JEL Codes: E43,E62,H63","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Research Project on Central Bank Communication"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.centralbank.e.u-tokyo.ac.jp/en/category/research-data/","subitem_relation_type_select":"URI"}}]},"item_8_select_14":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_select_item":"publisher"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"World Bank"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Matsuoka, Hideaki"}],"nameIdentifiers":[{"nameIdentifier":"159844","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2020-01-31"}],"displaytype":"detail","filename":"cb-wp014.pdf","filesize":[{"value":"609.2 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"cb-wp014.pdf","url":"https://repository.dl.itc.u-tokyo.ac.jp/record/53854/files/cb-wp014.pdf"},"version_id":"2c7a6298-b733-4f83-a687-f16a32f261b7"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Generalized panel smooth transition regression","subitem_subject_scheme":"Other"},{"subitem_subject":"Expected public debt-to-GDP ratio","subitem_subject_scheme":"Other"},{"subitem_subject":"Foreign private investors","subitem_subject_scheme":"Other"},{"subitem_subject":"Long-term interest rate","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Debt Intolerance : Threshold Level and Composition","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Debt Intolerance : Threshold Level and Composition"}]},"item_type_id":"8","owner":"1","path":["7892","7439"],"pubdate":{"attribute_name":"公開日","attribute_value":"2020-01-31"},"publish_date":"2020-01-31","publish_status":"0","recid":"53854","relation_version_is_last":true,"title":["Debt Intolerance : Threshold Level and Composition"],"weko_creator_id":"1","weko_shared_id":2},"updated":"2022-12-19T04:31:13.638096+00:00"}