Beetsma Roel, Giuliodori Massimo, Hanson Jesper, de Jong Frank
University of Amsterdam, European Fiscal Board, CEPR, CESifo, Netspar, Tinbergen Institute, the Netherlands.
University of Amsterdam, Tinbergen Institute, the Netherlands.
J Int Money Finance. 2021 Feb;110:102293. doi: 10.1016/j.jimonfin.2020.102293. Epub 2020 Sep 28.
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 theoretical framework. 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.
我们利用欧元区新主权债务发行的信息，探究政府债务期限决策背后的驱动因素。我们建立了一个关于期限结构的理论模型，该模型在对短期债务提供的流动性服务的偏好、展期风险和价格风险之间进行权衡。平均债务期限与收益率曲线的水平和斜率均呈负相关。面板向量自回归分析表明，风险厌恶、违约概率以及对短期债务流动性服务需求的正向冲击，均对收益率曲线的水平和斜率产生正向影响，而对新债务发行的平均期限产生负向影响。这些结果部分符合我们的理论框架。预测误差方差分解表明，从信用违约利差中提取的预期违约频率所反映的违约概率变化，是冲击的最重要来源。
