Debt management when monetary and fiscal policies clash: some empirical evidence

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10237878" target="_blank" >RIV/61989100:27510/20:10237878 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.tandfonline.com/doi/full/10.1080/15140326.2020.1750120" target="_blank" >https://www.tandfonline.com/doi/full/10.1080/15140326.2020.1750120</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1080/15140326.2020.1750120" target="_blank" >10.1080/15140326.2020.1750120</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Debt management when monetary and fiscal policies clash: some empirical evidence

Popis výsledku v původním jazyce

We explore the effects of fiscal and monetary policy shocks on key debt management variables and provide empirical evidence supporting the notion of a strict separation of economic policy from the debt management agenda. We find that a tighter monetary policy coupled with fiscal expansion increases the risk that government debt will have to be rolled over at unusually high cost. This is especially the case in a downturn, where low or even negative interest rates often provide incentives for debt managers to invest predominantly in short-term bonds. Our findings echo the post-crisis environment of low or even negative interest rates, where many debt managers altered their portfolios&apos; structure in favor of short-term bonds. In this respect, we argue that debt managers should use a longer optimization horizon and base their strategy on the medium- and long-term economic outlook.

Název v anglickém jazyce

Debt management when monetary and fiscal policies clash: some empirical evidence

Popis výsledku anglicky

We explore the effects of fiscal and monetary policy shocks on key debt management variables and provide empirical evidence supporting the notion of a strict separation of economic policy from the debt management agenda. We find that a tighter monetary policy coupled with fiscal expansion increases the risk that government debt will have to be rolled over at unusually high cost. This is especially the case in a downturn, where low or even negative interest rates often provide incentives for debt managers to invest predominantly in short-term bonds. Our findings echo the post-crisis environment of low or even negative interest rates, where many debt managers altered their portfolios&apos; structure in favor of short-term bonds. In this respect, we argue that debt managers should use a longer optimization horizon and base their strategy on the medium- and long-term economic outlook.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA16-22540S" target="_blank" >GA16-22540S: "Jak ty mně, tak já tobě?" Obnovení fiskální a finanční stability bez ohrožení měnové stability</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Applied Economics

ISSN

1514-0326

e-ISSN

—

Svazek periodika

23

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

29

Strana od-do

253-280

Kód UT WoS článku

000527213000001

EID výsledku v databázi Scopus

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