Relevant bibliographies by topics / JEL E20, G15, H63

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  1. Journal articles
  2. Dissertations / Theses

Academic literature on the topic 'JEL E20, G15, H63'

Author: Grafiati
Published: 4 June 2021
Last updated: 8 February 2022

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Journal articles on the topic "JEL E20, G15, H63"

1

Hall, George J., and Thomas J. Sargent. "Interest Rate Risk and Other Determinants of Post-WWII US Government Debt/GDP Dynamics." American Economic Journal: Macroeconomics 3, no. 3 (July 1, 2011): 192–214. http://dx.doi.org/10.1257/mac.3.3.192.

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This paper uses a sequence of government budget constraints to motivate estimates of returns on the US Federal government debt. Our estimates differ conceptually and quantitatively from the interest payments reported by the US government. We use our estimates to account for contributions to the evolution of the debt-GDP ratio made by inflation, growth, and nominal returns paid on debts of different maturities. (JEL E23, E31, E43, G12, H63)
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2

Ellison, Martin, and Andrew Scott. "Managing the UK National Debt 1694–2018." American Economic Journal: Macroeconomics 12, no. 3 (July 1, 2020): 227–57. http://dx.doi.org/10.1257/mac.20180263.

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We examine UK debt management using a new monthly dataset on the quantity and market price of every individual bond issued by the government since 1694. Our bond-by-bond dataset identifies variations in the market value of debt and so captures investors’ one-period holding returns, which is the cost of debt management in the government’s intertemporal budget constraint. We find a substantial cost advantage in favor of issuing short bonds, even when considering some of the operational risks implied by cash flows and gross redemptions. (JEL F34, G15, H63, N23, N24, N43, N44)
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3

Cruces, Juan J., and Christoph Trebesch. "Sovereign Defaults: The Price of Haircuts." American Economic Journal: Macroeconomics 5, no. 3 (July 1, 2013): 85–117. http://dx.doi.org/10.1257/mac.5.3.85.

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A main puzzle in the sovereign debt literature is that defaults have only minor effects on subsequent borrowing costs and access to credit. This paper comes to a different conclusion. We construct the first complete database of investor losses (“haircuts”) in all restructurings with foreign banks and bondholders from 1970 until 2010, covering 180 cases in 68 countries. We then show that restructurings involving higher haircuts are associated with significantly higher subsequent bond yield spreads and longer periods of capital market exclusion. The results cast doubt on the widespread belief that credit markets “forgive and forget.” (JEL E43, F34, G15, H63)
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4

Bocola, Luigi, and Alessandro Dovis. "Self-Fulfilling Debt Crises: A Quantitative Analysis." American Economic Review 109, no. 12 (December 1, 2019): 4343–77. http://dx.doi.org/10.1257/aer.20161471.

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This paper investigates the role of self-fulfilling expectations in sovereign bond markets. We consider a model of sovereign borrowing featuring endogenous debt maturity, risk-averse lenders, and self-fulfilling crises à la Cole and Kehoe (2000). In this environment, interest rate spreads are driven by both fundamental and nonfundamental risk. These two sources of risk have contrasting implications for the maturity structure of debt chosen by the government. Therefore, they can be indirectly inferred by tracking the evolution of debt maturity. We fit the model to Italian data and find that nonfundamental risk played a limited role during the 2008–2012 crisis. (JEL E43, E44, F34, G01, G15, H63)
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Berriel, Tiago C., and Saroj Bhattarai. "Hedging Against the Government: A Solution to the Home Asset Bias Puzzle." American Economic Journal: Macroeconomics 5, no. 1 (January 1, 2013): 102–34. http://dx.doi.org/10.1257/mac.5.1.102.

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We explain why international nominal bonds and equity portfolios are biased domestically. In our model, holding domestic government nominal debt provides a hedge against shocks to bond returns and the impact on taxes they induce. For this result, only two features are essential: nominal risk and taxes only on domestic agents. A third feature explains domestically biased equity holdings: government spending falls on domestic goods. Then, an increase in government spending raises the returns on domestic equity, providing a hedge against the subsequent increase in taxes. A calibrated version of the model predicts asset holdings that quantitatively match the data. (JEL F30, G11, G15, H61, H63)
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6

Chatterjee, Satyajit, and Burcu Eyigungor. "A Seniority Arrangement for Sovereign Debt." American Economic Review 105, no. 12 (December 1, 2015): 3740–65. http://dx.doi.org/10.1257/aer.20130932.

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A sovereign’s inability to commit to a course of action regarding future borrowing and default behavior makes long-term debt costly (the problem of debt dilution). One mechanism to mitigate this problem is the inclusion of a seniority clause in debt contracts. In the event of default, creditors are to be paid off in the order in which they lent (the “absolute priority” or “first-in-time” rule). In this paper, we propose a modification of the absolute priority rule suited to sovereign debts contracts and analyze its positive and normative implications within a quantitatively realistic model of sovereign debt and default. (JEL E32, E44, F34, G15, H63, O16, O19)
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7

Ermolov, Andrey. "When and Where Is It Cheaper to Issue Inflation-Linked Debt?" Review of Asset Pricing Studies 11, no. 3 (June 17, 2021): 610–53. http://dx.doi.org/10.1093/rapstu/raab016.

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Abstract I compare the direct issuance costs of inflation-linked debt (the liquidity premium) with nominal government debt (the inflation risk premium) in developed countries. On average, it is cheaper to issue nominal debt at medium maturities (5–10 years) and inflation-linked debt at long maturities (20 or more years), although results vary somewhat based on whether survey-based or statistical inflation expectations are used. Issuance costs exhibit pronounced time and cross-country variation. Lower inflation-linked debt issuance costs are associated with more countercyclical inflation and higher proportions of inflation-linked debt. International inflation-linked zero-coupon yields are available as an Internet Appendix to this paper. (JEL E31, E43, G12, G15, H30, H63) Received November 22, 2018; editorial decision March 9, 2021 by Editor Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
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Dissertations / Theses on the topic "JEL E20, G15, H63"

1

Proaño, Christian R., Christian Schoder, and Willi Semmler. "Financial Stress, Sovereign Debt and Economic Activity in Industrialized Countries: Evidence from Dynamic Threshold Regressions." WU Vienna University of Economics and Business, 2014. http://epub.wu.ac.at/4085/1/wp167.pdf.

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We analyze how the impact of a change in the sovereign debt-to-GDP ratio on economic growth depends on the level of debt, the stress level on the financial market and the membership in a monetary union. A dynamic growth model is put forward demonstrating that debt affects macroeconomic activity in a non-linear manner due to amplifications from the financial sector. Employing dynamic country-specific and dynamic panel threshold regression methods, we study the non-linear relation between the growth rate and the debt-to-GDP ratio using quarterly data for sixteen industrialized countries for the period 1981Q1-2013Q2. We find that the debt-to-GDP ratio has impaired economic growth primarily during times of high financial stress and only for countries of the European Monetary Union and not for the stand-alone countries in our sample. A high debt-to-GDP ratio by itself does not seem to necessarily negatively affect growth if financial markets are calm. (authors' abstract)
Series: Department of Economics Working Paper Series
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