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Barrett, Philip; Johns, Christopher - 2021

This paper examines ways to summarize the maturity structure of public debts using a small number of parameters. We …) more accurately describes changes in debt maturity for these six countries and 2) gives a quite different interpretation of … historical debt maturity. Our work can be applied not just to analyze past debt movements, but - because parameter estimates are …

Persistent link: https://www.econbiz.de/10012604796

Debt maturity : does it matter for fiscal space?

Kim, Jun-il - 2015

This paper examines how debt maturity affects the debt limit, defined as the maximum amount of debt a government can … leads to a higher debt limit. Simulation results suggest that the effect of debt maturity on debt limit could be substantial …

Persistent link: https://www.econbiz.de/10011705121

Optimal Maturity Structure of Sovereign Debt in Situation of Near Default

Desgranges, Gabriel - 2014

We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under …

Persistent link: https://www.econbiz.de/10014411505

A guide to sovereign debt data

Abbas, S. Ali; Rogoff, Kenneth S.; Huang, Chengyu; … - 2019

The last decade or so has seen a mushrooming of new sovereign debt databases covering long time spans for several countries. This represents an important breakthrough for economists who have long sought to, but been unable to tackle, first-order questions such as why countries have differential...

Persistent link: https://www.econbiz.de/10012103726

Financing for the post-pandemic recovery : developing domestic sovereign debt markets in Central America

Clevy, Jean Francois; Pedras, Guilherme; Pérez Ruiz, Esther - 2021

The pandemic has urged countries around the globe to mobilize financing to support the recovery. This is even more relevant in Central America, where the policy response to cushion the pandemic's economic and social impact has accentuated pre-existing debt vulnerabilities. This paper documents...

Persistent link: https://www.econbiz.de/10012795101

Is banks’ home bias good or bad for public debt sustainability?

Asonuma, Tamon; Bakhache, Said; Hesse, Heiko - 2015

Motivated by the recent increase in domestic banks' holdings of domestic sovereign debt (i.e., home bias) in the European periphery, this paper analyzes implications of banks' home bias for the sovereign's debt sustainability. The main findings, based on a sample of advanced (AM) and emerging...

Persistent link: https://www.econbiz.de/10011281916

Sovereign asset and liability management in emerging market countries : the case of Uruguay

Amante, André; Anderson, Phillip; Thordur Jonasson; … - 2019

This paper provides an overview of the strategic and operational issues as well as institutional challenges, related to the implementation of the Sovereign Asset and Liability Management (SALM) approach. Application of an SALM framework allows the authorities to identify and monitor sovereign...

Persistent link: https://www.econbiz.de/10012155126

Fiscal transparency, borrowing costs, and foreign holdings of sovereign debt

Kemoe, Laurent; Zhan, Zaijin - 2018

This paper explores the effects of fiscal transparency on the borrowing costs of 33 emerging and developing economies (EMs), and on foreign demand for their sovereign debt. Using multiple indicators, including a constructed one based on the published data in the IMF's Government Finance...

Persistent link: https://www.econbiz.de/10011905917

A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager

Papaioannou, Michael G. - 2006

This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign''s debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as...

Persistent link: https://www.econbiz.de/10014402007

The Risk Premiumon Italian Government Debt, 1976-1988

Cottarelli, Carlo - 1990

This paper considers the behavior of the yield differential between government and nongovernment bonds in Italy between 1976 and 1988. It is shown that the trend increase of the differential observed in this period was significantly influenced by the deterioration of public finances, as...

Persistent link: https://www.econbiz.de/10014395765

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