| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13729 |
| DP13729 The Maturity of Sovereign Debt Issuance in the Euro Area | |
| Roel Beetsma; Massimo Giuliodori; Jesper Hanson; Frank de Jong | |
| 发表日期 | 2019-05-12 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We use information on new sovereign debt issues in the euro area to explore the drivers behind the debt maturity decisions of governments. We set up a theoretical model for the maturity structure that trades off the preference for liquidity services provided by short-term debt, roll-over risk and price risk. The average debt maturity is negatively related to both the level and the slope of the yield curve. A panel VAR analysis shows that positive shocks to risk aversion, the probability of non-repayment and the demand for the liquidity services of short-term debt all have a positive effect on the yield curve level and slope, and a negative effect on the average maturity of new debt issues. These results are partially in line with our theory. A forecast error variance decomposition suggests that changes in the probability of non-repayment as captured by the expected default frequency extracted from credit default spreads are the most important source of shocks. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Maturity Euro-area public debt auctions Yield curve Liquidity services of short debt Risk aversion Expected repayment probability |
| URL | https://cepr.org/publications/dp13729-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542592 |
| 推荐引用方式 GB/T 7714 | Roel Beetsma,Massimo Giuliodori,Jesper Hanson,et al. DP13729 The Maturity of Sovereign Debt Issuance in the Euro Area. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
