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Short and long-term interest rate risk: The sovereign balance-sheet nexus
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Autores
Orientador(es)
Resumo(s)
We compute stock-flow adjustments (SFA) using sovereign balance sheet developments, and
assess their effects on short and long-term interest rates for 14 European countries between 1970
and 2015, in a panel and SUR analysis. We find that an increase in SFA reduces long- and shortterm
interest rates, with higher reductions for short-term rates. Furthermore, the decreasing
effects of an increment in the stock-flow have reduced since the 2008–2009 financial crisis. As
expected, there is also an upward push on both interest rates from a rise in sovereign indebtedness.
Descrição
Palavras-chave
Stock-Flow Adjustment Debt Interest Rates SUR Panel Data
Contexto Educativo
Citação
Afonso, António, and José Alves. (2019). "Short and long-term interest rate risk: The sovereign balance-sheet nexus". Finance Research Letters , Vol. 31: pp. 294-299.
Editora
Elsevier