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Hold-up and the use of performance-sensitive debt
Adam, Tim R.; Streitz, Daniel - 2014
of financial covenants. …
Persistent link: https://www.econbiz.de/10010403671
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Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market
Andrada Félix, Julián; Fernandez-Perez, Adrian; … - In: SERIEs : Journal of the Spanish Economic Association 6 (2015) 2, pp. 207-245
Using different econometric models, Diebold and Li (J Econom 130:337-364, 2006) addressed the practical problem of forecasting the yield curve by predicting the factors level, slope and curvature in the Nelson-Siegel framework. This paper has two main aims: on the one hand, to investigate the...
Persistent link: https://www.econbiz.de/10011311742
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The Stability of Bond Financed Deficits : A Critique of the Literature
Moorthy, Vivek - 2012
A large body of literature has concluded that bond finance of the deficit is unstable because of rising interest payments on the debt. This paper criticizes this literature in detail, focusing on the Blinder-Solow and Sargent-Wallace papers. It argues that conclusions regarding a debt trap under...
Persistent link: https://www.econbiz.de/10013098750
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Taming Debt : Can GDP-Linked Bonds do the Trick?
Mouabbi, Sarah - 2020
, (ii) for a fixed budget surplus, issuing GDP-linked bonds does not necessarily imply more beneficial debt-to-GDP ratios in … expense of being higher on average. Our findings call into question the view that GDP-linked bonds tame debt …
Persistent link: https://www.econbiz.de/10012835206
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Debt as safe asset
Brunnermeier, Markus Konrad; Merkel, Sebastian; … - 2021
The price of a safe asset reflects not only the expected discounted future cash flows but also future service flows, since retrading allows partial insurance of idiosyncratic risk in an incomplete markets setting. This lowers the issuers’ interest burden and allows the government to run a...
Persistent link: https://www.econbiz.de/10012797027
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Discount rates, debt maturity, and the fiscal theory
Corhay, Alexandre; Kind, Thilo; Kung, Howard; Morales, … - 2021
stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect … fiscal theory directly depend on the conditional nominal term premium, giving rise to an optimal debt maturity policy that is …
Persistent link: https://www.econbiz.de/10012643869
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Government Debt Management and Inflation with Real and Nominal Bonds
Schmid, Lukas; Valaitis, Vytautas; Villa, Alessandro T. - 2021
(TIPS) bonds as part of the government debt portfolio to commit not to create elevated inflation? We thus examine optimal … debt management in a setting where (i) the government can issue long-term nominal and real bonds, (ii) the monetary …. Nominal debt can be inflated away giving ex-ante flexibility, but real bonds constitute a real commitment ex-post. We show …
Persistent link: https://www.econbiz.de/10013321924
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Taming debt: can GDP-linked bonds do the trick?
Mouabbi, Sarah; Renne, Jean-Paul; Sahuc, Jean-Guillaume - 2020
Persistent link: https://www.econbiz.de/10012242244
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Sovereign bond spreads and credit sensitivity
Schefer, Ricardo - 2020
Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because they have no contractual claims to defined assets and samples of defaults are limited. A geometric version of credit spread is used to derive expected payments, dependent on...
Persistent link: https://www.econbiz.de/10012307696
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QE in the fiscal theory : a risk-based view
Corhay, Alexandre; Kung, Howard; Morales, Gonzalo - 2017
liabilities differ, rebalancing the maturity structure changes the government cost of capital. In the fiscal theory, changes in …
Persistent link: https://www.econbiz.de/10011721588