Lagoa Sérgio C, Leão Emanuel R, Bhimjee Diptes P
Instituto Universitário de Lisboa (ISCTE-IUL) and DINAMIA'CET-IUL, Lisbon, Portugal.
Instituto Universitário de Lisboa (ISCTE-IUL) and Centro de Estudos Internacionais, Lisbon, Portugal.
Empirica (Dordr). 2022;49(4):1089-1122. doi: 10.1007/s10663-022-09547-8. Epub 2022 Aug 12.
We examine the relationship between the risk premium markets demand to hold the Treasury Bonds of a given country and the sustainability of the public finances of the country. We inquire to what extent do markets use the dynamic evolution of the public-debt-to-gdp ratio as an indication of the likelihood of a public debt default. Specifically, our empirical research design involves the following steps: (i) we use the dynamic equation of the public-debt-to-gdp ratio to build forecasts of future values of this ratio in the eurozone countries; (ii) we then use these forecasts in a regression to see how important they are to explain the risk premium implicit in the treasury bond yields. We find that projections of future values of the public-debt-to-gdp ratio do impact current 10 year bond spreads. According to our regressions, markets seem to give more weight to forecasts with a horizon smaller than 10 years. Our results suggest that agents use a relatively simple mechanism to forecast the public debt-to-gdp ratio, a mechanism which can be used while updated forecasts from international organizations are not yet available. On the other hand, according to our estimations, euro area sovereign debt markets ceased to significantly discriminate countries based on their public debt prospects after the 2012 'Whatever It Takes" speech and the announcement of the Outright Monetary Transactions (OMT) program-suggesting that these events had a significant calming effect on the markets.
The online version contains supplementary material available at 10.1007/s10663-022-09547-8.
我们研究了市场持有某一国家国债的风险溢价需求与该国公共财政可持续性之间的关系。我们探究市场在多大程度上利用公共债务与国内生产总值（GDP）比率的动态演变来作为公共债务违约可能性的指标。具体而言，我们的实证研究设计包括以下步骤：（i）我们使用公共债务与GDP比率的动态方程来构建对欧元区国家该比率未来值的预测；（ii）然后我们将这些预测用于回归分析，以查看它们对解释国债收益率中隐含的风险溢价有多重要。我们发现，公共债务与GDP比率未来值的预测确实会影响当前的10年期债券利差。根据我们的回归分析，市场似乎更看重期限小于10年的预测。我们的结果表明，市场参与者使用了一种相对简单的机制来预测公共债务与GDP比率，在国际组织的更新预测尚未可得时，该机制可以被使用。另一方面，根据我们的估计，在2012年“不惜一切代价”演讲以及直接货币交易（OMT）计划宣布之后，欧元区主权债务市场不再根据各国的公共债务前景对它们进行显著区分——这表明这些事件对市场产生了显著的安抚作用。
在线版本包含可在10.1007/s10663-022-09547-8获取的补充材料。
