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Is the supply of long-term debt independent of the term premia? Evidence from Portugal
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Orientador(es)
Resumo(s)
An important assumption in the statistical analysis of the financial market effects of the central bank’s large scale asset purchase program is that the "long-term debt stock variables were exogenous to term premia". We test this assumption for a small open economy in a currency union over the period 2000M3 to 2015M10, via the determinants of short- term financing relative to long-term financing. Empirical estimations indicate that the maturity composition of debt does not respond to the level of interest rate or to the term structure. These findings suggest a lower adherence to the cost minimization mandate of debt management. However, we find that volatility and relative market size respectively decrease and increase short-term financing relative to long-term financing, while it decreases with an increase in government indebtedness.
Descrição
Palavras-chave
Sovereign Debt Management Long-Term Interest Rate Portfolio Balance Channel Bank of Portugal
Contexto Educativo
Citação
Afonso, António e Manish K. Singh .2016. "Is the supply of long-term debt independent of the term premia? Evidence from Portugal". Instituto Superior de Economia e Gestão. DE Working papers nº 11-2016/DE/UECE
Editora
ISEG - Departamento de Economia