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Too much in one basket? : debt concentration and sovereign yields

Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025

show that greater skewness is associated with higher sovereign bond yields and higher short-term interest rates, whether … measured in face or market value. In contrast, an increase in debt concentration tends to reduce both sovereign bond yields and …

Persistent link: https://www.econbiz.de/10015420879

Manufacturing risk-free government debt

Jiang, Zhengyang; Lustig, Hanno; Nieuwerburgh, Stijn van; … - 2021

Governments face a trade-off between insuring bondholders and taxpayers. If the government fully insures bondholders by manufacturing risk-free zero-beta debt, then it cannot also insure taxpayers against permanent macroeconomic shocks over long horizons. Instead, taxpayers will pay more in...

Persistent link: https://www.econbiz.de/10012437854

Debt maturity without commitment

Niepelt, Dirk - 2008

I analyze how lack of commitment affects the maturity structure of sovereign debt. Governments balance benefits of default induced redistribution and costs due to income losses in the wake of a default. Their choice of short- versus long-term debt affects default and rollover decisions by...

Persistent link: https://www.econbiz.de/10003803574

Good debt or bad debt?

Tamborini, Roberto - 2024

The public debt overhang spread across advanced countries, and the reform of the Stability and Growth Pact in the Euro Zone, have revived the polarization between those who think that debt is always good and those who think that debt is always bad. This paper presents a normative model of...

Persistent link: https://www.econbiz.de/10015133886

FTPL and the maturity structure of government debt in the New-Keynesian model

Liemen, Max Ole; Posch, Olaf - 2022

In this paper, we revisit the fiscal theory of the price level (FTPL) within the New Keynesian (NK) model. We show in … inflation dynamics. Our results illustrate the role of the maturity of existing debt in the wake of skyrocketing debt … fiscal packages (CARES) and predict a surge in inflation if the deficits are not sufficiently backed by future surpluses. …

Persistent link: https://www.econbiz.de/10013285610

Technological synergies, heterogeneous firms, and idiosyncratic volatility

Fernández-Villaverde, Jesús; Yu, Yang; Zanetti, Francesco - 2024

This paper shows the importance of technological synergies among heterogeneous firms for aggregate fluctuations. First, we document six novel empirical facts using microdata that suggest the existence of important technological synergies between trading firms, the presence of positive...

Persistent link: https://www.econbiz.de/10014496498

Conservation by lending

Harstad, Bård; Storesletten, Kjetil - 2023

This project analyzes how a principal can motivate an agent to conserve rather than exploit a depletable resource. This dynamic problem is relevant for tropical deforestation as well as for other environmental problems. It is shown that the smaller is the agent's discount factor (e.g., because...

Persistent link: https://www.econbiz.de/10014307153

Debt stabilization and debt mutualization in a monetary union with endogenous risk premia

Engwerda, Jacob Christiaan; Aarle, Bas van; Weeren, … - 2015

In this paper we analyse debt stabilization in a monetary union that features endogenous risk premia. In particular, we analyse debt stabilization in two diametrically opposed regimes. In the first regime, the "national fiscal discipline regime", financial markets impose sovereign risk premia...

Persistent link: https://www.econbiz.de/10011350136

Debt as safe asset

Brunnermeier, Markus Konrad; Merkel, Sebastian; … - 2021

The price of a safe asset reflects not only the expected discounted future cash flows but also future service flows, since retrading allows partial insurance of idiosyncratic risk in an incomplete markets setting. This lowers the issuers’ interest burden and allows the government to run a...

Persistent link: https://www.econbiz.de/10012797027

Hypnosis before wake-up call?! : the revival of sovereign credit risk perception in the EMU-crisis

Bordon, Ingo Gerold; Schmid, Kai D.; Schmidt, Michael - 2014 - This Version: July 2014

its impact upon bond yield spreads has become comparable to the time before the Maastricht treaty. …

Persistent link: https://www.econbiz.de/10010393624