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Advisor(s)
Abstract(s)
0 objetivo geral da presente tese de doutoramento e contribuir para uma melhor compreensão do papel dinâmico e heterogéneo dos diferentes agentes que compõem a base de investidores nos mercados de divida publica das economias avançadas. A estreita ligação ao entre os riscos soberano e bancário motiva uma atenção especial a procura de dívida soberana dos bancos nacionais. Os temas abordados são relevantes designadamente para a gestão da dívida publica, em particular no âmbito da nova perspetiva macrofinanceira que surgiu na sequencia da Crise Financeira Global e da Crise da Dívida Soberana da Zona Euro (ZE) para substituir a tradicional abordagem de sustentabilidade da dívida (Das, et al., 2012}. A sua importância e ainda mais relevante se atendermos àreconhecida necessidade de coordenar a gestão da dívida publica, com as políticas monetária, fiscal e macro prudencial para criar urn quadro de política macroeconómica global tendo em vista melhorar a resposta aos desafios colocados pelas interligações diretas e indiretas observadas entre fatores globais e nacionais, entre diferentes emitentes soberanos e entre governos, bancos e outros investidores privados. No segundo capítulo da tese avaliamos o impacto da composição da base de investidores no custo da dívida pública e, para aferir o risco de refinanciamento, examinamos a forma como os investidores reagem aos cheques nas taxas de rendimento (yields) das obrigações soberanas. 0 estudo abarca 24 países e 3 maturidades compreendendo o período entre o 1º trimestre de 2004 e o 2º trimestre de 2019. A nossa abordagem, combinando VAR individuais e em painel, possui a vantagem de modelizar a causalidade bidirecional entre as taxas de rendimento e o volume da exposição dos diferentes investidores. Constatamos que um maior volume de investimento estrangeiro esta associado a taxas de rendimento mais baixas, mas este efeito encontra-se exclusivamente relacionado com bancos estrangeiros e essencialmente com a maturidade de 10 anos. Na ZE, as taxas de rendimento da dívida dos países com taxas tradicionalmente mais elevadas e as dos países do seu núcleo central reagem em direções opostas aos choques no volume de investimento estrangeiro. 0 investimento estrangeiro é pró-ciclico, nomeadamente nos prazos longos da curva de rendimentos e onde os equilíbrios macroecon6micos são mais débeis. Assim, a possibilidade de uma repeti ao da crise da dívida soberana da ZE não pode ser descartada, requerendo prontidão para mobilizar mecanismos de apoio para evitar o contagio e urna escalada que possa comprometer a própria União Monetária. A resposta das taxas de rendimentos da dívida aos choques no volume de investimento domestico é heterogénea e parece não ter qualquer relação significativa com o enviesamento em favor do investimento no país de residência. Não e possível associar de forma clara nenhum padrão cíclico de negocia ao a cada tipo de investidor domestico. 0 terceiro capitulo analisa o papel do comportamento da base de investidores na explica ao da volatilidade da taxa de rendimento das obrigações soberanas em 23 economias desenvolvidas, entre o 1º trimestre de 2004 e o 2º trimestre de 2019. 0 estudo complementa trabalhos anteriores ao investigar o papel dos investidores não oficiais não apenas estrangeiros, mas também domésticos, e ao utilizar o método das projejões locais para abordar de forma parcimoniosa a endogeneidade entre as variáveis. Os nossos resultados mostram que a compra e a venda possuem impactos distintos na volatilidade. Os investidores estrangeiros contribuem para aumentar a volatilidade da taxa de rendimento das obrigações, principalmente através das vendas liquidas. As compras líquidas dos investidores nacionais podem ajudar a proteger o emitente soberano contra a volatilidade, mesmo que o seu efeito amortecedor não seja sentido instantaneamente ou seja observável no contexto rnais crucial da subida das taxas de rendimento. A ZE, dividida em dois grupos de países que não respondem uniformemente as vendas líquidas estrangeiras nem gozam do mesmo nível de proteção das compras líquidas internas, afigura-se vulnerável, exigindo, do ponto de vista politico, vigilância e prontidão para contrariar riscos de fragmentação. 0 quarto capitulo investiga as decisões de carteira dos bancos relativamente a sua aloca ao de ativos a obrigações soberanas, utilizando dados anuais de 130 bancos japoneses no período compreendido entre 2002 e 2021. 0 Japão representa urn caso interessante, por três razoes. Primeiro, os bancos japoneses estão entre os bancos das economias avançadas com uma maior percentagem do total da dívida soberana nacional que não se encontra nas mãos do setor oficial, doméstico ou estrangeiro. Segundo, a media do seu racio de crédito bruto ao governo central sobre 0 total de ativos é cerca de três vezes superior aos valores médios nos EUA ou na ZE. Terceiro, as carteiras de dívida governamental, muito concentradas em dívida domestica do governo central, são relativamente mais homogéneas que nos EUA ou na ZE. 0 nosso contributo para a literatura existente incorpora, designadamente, o explorar do impacto da política monetária não convencional na procura de obrigações governamentais por parte dos bancos, o testar da importância do risco nas decisões de carteira dos bancos e a utilização de um enquadramento dinâmico, em alternativa àtradicional abordagem estática. Os nossos resultados mostram que os bancos menos capitalizados, menos diversificados, em forte expansão,com elevada rentabilidade no passado, bern como os bancos com maiores riscos de refinanciamento, tendem a deter relativamente mais obrigações governamentais. Adicionalmente, grandes bancos em termos de ativos tendem a aumentar relativamente mais a exposição à dívida soberana durante recessões e períodos de elevada volatilidade macroeconómica. Embora de forma menos clara, os dados sugerem também que os bancos com maiores níveis de crédito em incumprimento ou problemático e os bancos regionais com necessidades mais significativas de colaterais também detêm uma proporção mais elevada de obrigações soberanas. A política quantitativa e qualitativa de acomoda ao monetária teve um efeito disruptivo sobre a procura de obrigações do governo japonês por parte dos bancos. As reservas excedentárias dos bancos no Banco do Japão tornaram-se uma alternativa de igual perfil baixo risco/baixo retorno as obrigações do governo japonês, uma vez que os bancos com reservas excedentárias relativamente mais elevadas tem relativamente menos obrigações do governo japonês nos seus ativos. No futuro,apenas o fim ou inversão da expansão da base monetária pode ajudar as de obrigações do governo japonês a recuperar o seu papel único de ativo sem risco para os bancos japoneses. Os resultados relativos à resposta dos bancos a um choque económico adverso sugerem também que e necessário um grande cuidado na calibração dos requisitos de capital impostos à concentração da carteira de dívida soberana e seus limiares, nos moldes como estão a ser estudados na União Europeia. Em resumo, esta tese assinala a necessidade de ter presente a heterogeneidade dos diferentes tipos de investidores em dívida publica e estabelece uma rela ao entre a composição da base de investidores e os custos da dívida soberana, os seus riscos de refinanciamento e a volatilidade do mercado de obrigações governamentais. As nossas conclusões indicam que os institutos de gestão da dívida pública devem preocupar-se com a sua base de investidores e procurar o equilíbrio mais adequado entre os custos e os riscos que cada tipo de investidor representa. As conclusões relativamente à ZE alertam para a continua presença do risco de fragmenta ao e, por conseguinte, conferem suporte à decisão do BCE de aprovar o lnstrumento de Proteção da Transmissão da política monetária no dia 21de julho de 2022. Por último, o caso do Japão evidência a importância das condções do balanço dos bancos e do risco para a sua procura de dívida soberana e ilustra o impacto da política monetária não convencional, designadamente a substitui ao das obrigações do Tesouro pelas reservas excedentárias dos bancos no banco central no seu papel de ativo "sem risco".;
The general aim of this PhD thesis is to contribute to a better understanding of the dynamics and heterogeneous role of the investor base composition on government debt markets in advanced economies. The close link between sovereign and banking risks motivates a specific attention to the government bond demand of domestic banks. These key subjects are particularly relevant for public debt management, namely under the new macro-financial perspective that emerged following the Global Financial Crisis {GFC) and the Euro Area {EA) sovereign debt crisis to replace the traditional debt sustainability approach (Das, et al., 2012). And even more so, since public debt management has also been required to team up with monetary, fiscal, and macro prudential policies to create an overall macroeconomic policy framework to improve the response to the challenges posed by the observed direct and indirect interconnections between global and country factors, between different sovereigns, and between sovereign, banks,and other private agents. In the second chapter, the first being the introduction, we assess the investor base impact on government borrowing costs and examine how investors react to shocks in sovereign bond yields, across 24 countries and 3 maturities between 2004Ql-2019Q2. Our panel and individual VAR approach has the advantage of modelling bidirectional causality between yields and investor holdings.We find that higher foreign holdings are associated with lower yields but link these effects exclusively to foreign banks and mainly to the 10-year maturity. In the EA, yields react in opposite directions to foreign holdings shocks in high-yielders and core countries. Foreign investment is procyclical, namely at the long end of the yield curve and where fundamentals are weaker.Under such conditions,a re-run of the EA sovereign debt crisis cannot be dismissed requiring readiness to use all supporting mechanisms to prevent contagion and an escalation that may jeopardize the monetary union itself. Yields' response to domestic investment shocks is heterogeneous and seems to bear no significant relation with home bias. No cyclical trading pattern can be clearly associated to each type of domestic investor. The third chapter looks at the role of investor base dynamics in explaining sovereign bond yield volatility in a broad number of advanced economies,adding to previous work by investigating the role of both foreign and domestic non-official investors and using local projections to parsimoniously address endogeneity among variables. Our results show that buying and selling have differentiated impacts on volatility. Foreign investors contribute to increase bond yield volatility,mostly through net sales. Domestic investors' net purchases may help to shield the sovereign issuer against volatility even if their dampening effect is not instantaneously felt or indeed is only observable in the more crucial context of rising yields. The EA, split in two groups of countries that do not respond uniformly to foreign net sales nor enjoy the same level of protection from domestic net purchases, seems vulnerable requiring, from a policy point of view, vigilance,and readiness to act against fragmentation risks. The fourth chapter investigates the portfolio decisions of banks regarding their asset allocation to sovereign bonds using annual data from 130 Japanese banks over the period 2002-21. Japan makes an interesting case since Japanese banks are among the banks in advanced economies with a larger share of non-official holdings of domestic sovereign debt, their mean ratio of gross claims on the central government to total assets is about three times above average values in the US or in the EA,and government portfolios are relatively more homogeneous. We contribute to the existing literature by exploring the impact of unconventional monetary policy on sovereign bond bank demand in Japan and by testing empirically the theoretical significance of risk on banks' asset portfolio decisions using a dynamic rather than a static setting. Our results show that banks less capitalized and less diversified, banks experiencing stronger growth and past higher profitability, as well as banks facing higher funding risk tend to hold a larger share of total assets allocated to sovereign bonds. Moreover, larger banks in terms of assets tend to increase relatively more their government bond holdings during downturns and periods of higher economic volatility. Though less clearly, data also suggest that banks facing weaker loan performance and regional banks with more significant need of collateral hold a higher proportion of sovereign bonds. Quantitative and Qualitative Monetary Easing (QQE) policy had a major disruptive effect over banks' Japanese government bond (JGB) demand.Excess reserves at the Bank of Japan became a low risk/low return alternative to JGBs, as banks with relatively higher excess reserves have relatively less JGBs in their assets.Going forward,only a reversion of the monetary base expansion may help JGBs regain their role of the single riskless asset for Japanese banks. Results regarding banks response to an adverse economic shock also suggest great care is required in the calibration of sovereign exposure capital charges and thresholds,if implemented as has been put forward in the EU. To sum up,this thesis highlights the heterogeneity of the different types of investors in government debt and establishes a relationship between the composition of the investor base and sovereign borrowing costs, refinancing risks,and government bond market volatility. Our findings indicate that public debt management offices should care about their investor base and balance the different trade-offs between costs and risks that each type of investor poses. Policy conclusions regarding the EA signal the risk of fragmentation and therefore support the ECB's decision to approve the Transmission Protection Instrument on the 21st of July 2022. Finally, the case of Japan highlights the importance of balance-sheet conditions and risk for government bond bank demand as well as illustrates the impact of unconventional monetary policy, namely the replacement of government bonds by banks' excess reserves at the central bank in their role of 'risk-free' asset in banks' portfolios.
The general aim of this PhD thesis is to contribute to a better understanding of the dynamics and heterogeneous role of the investor base composition on government debt markets in advanced economies. The close link between sovereign and banking risks motivates a specific attention to the government bond demand of domestic banks. These key subjects are particularly relevant for public debt management, namely under the new macro-financial perspective that emerged following the Global Financial Crisis {GFC) and the Euro Area {EA) sovereign debt crisis to replace the traditional debt sustainability approach (Das, et al., 2012). And even more so, since public debt management has also been required to team up with monetary, fiscal, and macro prudential policies to create an overall macroeconomic policy framework to improve the response to the challenges posed by the observed direct and indirect interconnections between global and country factors, between different sovereigns, and between sovereign, banks,and other private agents. In the second chapter, the first being the introduction, we assess the investor base impact on government borrowing costs and examine how investors react to shocks in sovereign bond yields, across 24 countries and 3 maturities between 2004Ql-2019Q2. Our panel and individual VAR approach has the advantage of modelling bidirectional causality between yields and investor holdings.We find that higher foreign holdings are associated with lower yields but link these effects exclusively to foreign banks and mainly to the 10-year maturity. In the EA, yields react in opposite directions to foreign holdings shocks in high-yielders and core countries. Foreign investment is procyclical, namely at the long end of the yield curve and where fundamentals are weaker.Under such conditions,a re-run of the EA sovereign debt crisis cannot be dismissed requiring readiness to use all supporting mechanisms to prevent contagion and an escalation that may jeopardize the monetary union itself. Yields' response to domestic investment shocks is heterogeneous and seems to bear no significant relation with home bias. No cyclical trading pattern can be clearly associated to each type of domestic investor. The third chapter looks at the role of investor base dynamics in explaining sovereign bond yield volatility in a broad number of advanced economies,adding to previous work by investigating the role of both foreign and domestic non-official investors and using local projections to parsimoniously address endogeneity among variables. Our results show that buying and selling have differentiated impacts on volatility. Foreign investors contribute to increase bond yield volatility,mostly through net sales. Domestic investors' net purchases may help to shield the sovereign issuer against volatility even if their dampening effect is not instantaneously felt or indeed is only observable in the more crucial context of rising yields. The EA, split in two groups of countries that do not respond uniformly to foreign net sales nor enjoy the same level of protection from domestic net purchases, seems vulnerable requiring, from a policy point of view, vigilance,and readiness to act against fragmentation risks. The fourth chapter investigates the portfolio decisions of banks regarding their asset allocation to sovereign bonds using annual data from 130 Japanese banks over the period 2002-21. Japan makes an interesting case since Japanese banks are among the banks in advanced economies with a larger share of non-official holdings of domestic sovereign debt, their mean ratio of gross claims on the central government to total assets is about three times above average values in the US or in the EA,and government portfolios are relatively more homogeneous. We contribute to the existing literature by exploring the impact of unconventional monetary policy on sovereign bond bank demand in Japan and by testing empirically the theoretical significance of risk on banks' asset portfolio decisions using a dynamic rather than a static setting. Our results show that banks less capitalized and less diversified, banks experiencing stronger growth and past higher profitability, as well as banks facing higher funding risk tend to hold a larger share of total assets allocated to sovereign bonds. Moreover, larger banks in terms of assets tend to increase relatively more their government bond holdings during downturns and periods of higher economic volatility. Though less clearly, data also suggest that banks facing weaker loan performance and regional banks with more significant need of collateral hold a higher proportion of sovereign bonds. Quantitative and Qualitative Monetary Easing (QQE) policy had a major disruptive effect over banks' Japanese government bond (JGB) demand.Excess reserves at the Bank of Japan became a low risk/low return alternative to JGBs, as banks with relatively higher excess reserves have relatively less JGBs in their assets.Going forward,only a reversion of the monetary base expansion may help JGBs regain their role of the single riskless asset for Japanese banks. Results regarding banks response to an adverse economic shock also suggest great care is required in the calibration of sovereign exposure capital charges and thresholds,if implemented as has been put forward in the EU. To sum up,this thesis highlights the heterogeneity of the different types of investors in government debt and establishes a relationship between the composition of the investor base and sovereign borrowing costs, refinancing risks,and government bond market volatility. Our findings indicate that public debt management offices should care about their investor base and balance the different trade-offs between costs and risks that each type of investor poses. Policy conclusions regarding the EA signal the risk of fragmentation and therefore support the ECB's decision to approve the Transmission Protection Instrument on the 21st of July 2022. Finally, the case of Japan highlights the importance of balance-sheet conditions and risk for government bond bank demand as well as illustrates the impact of unconventional monetary policy, namely the replacement of government bonds by banks' excess reserves at the central bank in their role of 'risk-free' asset in banks' portfolios.
Description
Doutoramento em Economia
Keywords
Dívida pública Risco Soberano Base de investidores Volatilidade Bancos Public debt Sovereign risk Investor base Volatility Banks
Pedagogical Context
Citation
Ferreira, Carlos Alberto Piscarreta Pinto (2024). "Essays on sovereign risks and government debt demand". Tese de Doutoramento. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Publisher
Instituto Superior de Economia e Gestão