Publicação
Short and long-term interest rate risk: The sovereign balance-sheet nexus
| dc.contributor.author | Afonso, António | |
| dc.contributor.author | Alves, José | |
| dc.date.accessioned | 2022-09-15T08:32:06Z | |
| dc.date.available | 2022-09-15T08:32:06Z | |
| dc.date.issued | 2019 | |
| dc.description.abstract | 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. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | 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. | pt_PT |
| dc.identifier.doi | 10.1016/j.frl.2018.11.014 | pt_PT |
| dc.identifier.issn | 1544-6123 | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/25502 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | Elsevier | pt_PT |
| dc.subject | Stock-Flow Adjustment | pt_PT |
| dc.subject | Debt | pt_PT |
| dc.subject | Interest Rates | pt_PT |
| dc.subject | SUR | pt_PT |
| dc.subject | Panel Data | pt_PT |
| dc.title | Short and long-term interest rate risk: The sovereign balance-sheet nexus | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |