Fiscal insurance during financial distress: the case of Belgian sovereign debt in the 21st century
Treball fi de màster de: Master's Degree in Specialized Economic Analysis: Macroeconomic Policy and Financial Markets Program. Curs 2022-2023 ; Tutors: Hugo Rodríguez-Mendizábal i Luca Gambetti ; We empirically test the theoretical hypothesis that long term bonds offer governments fiscal insurance in times of crisis, analyzing Belgian sovereign debt dynamics during the 21st century. We use a novel data set of monthly prices and quantities for bonds in circulation between 2000 and 2022. We calculate total market value of debt and one- period holding returns, capturing the funding cost in the go... Mehr ...
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Dokumenttyp: | masterThesis |
Schlagwörter: | Treball de fi de màster – Curs 2022-2023 / Maturity structure / Financial crises / Debt management / Manejo de deuda / Estructura vencimiento / Crisis financiera |
Sprache: | Englisch |
Permalink: | https://search.fid-benelux.de/Record/base-26919592 |
Datenquelle: | BASE; Originalkatalog |
Powered By: | BASE |
Link(s) : | http://hdl.handle.net/10230/58429 |
Treball fi de màster de: Master's Degree in Specialized Economic Analysis: Macroeconomic Policy and Financial Markets Program. Curs 2022-2023 ; Tutors: Hugo Rodríguez-Mendizábal i Luca Gambetti ; We empirically test the theoretical hypothesis that long term bonds offer governments fiscal insurance in times of crisis, analyzing Belgian sovereign debt dynamics during the 21st century. We use a novel data set of monthly prices and quantities for bonds in circulation between 2000 and 2022. We calculate total market value of debt and one- period holding returns, capturing the funding cost in the government’s inter temporal budget constraint. The main findings of the study indicate a positive co movement between bond prices and government net funding requirement during periods of financial distress, suggesting a limited role of long bonds in fiscal insurance. ; Examinamos empíricamente la hipótesis teórica que bonos de larga duración ofrecen seguro fiscal a gobiernos en tiempos de crisis, analizando la deuda soberana Belga durante el siglo XXI. Utilizamos una novedosa base de datos de precios y cantidades de bonos en circulación entre 2000 y 2022. Calculamos valor de mercado total de la deuda y rendimientos de tenencia de un período, capturando costos de financiamiento en la limitación presupuestaria inter-temporal del gobierno. Encontramos co movimiento positivo entre precios de bonos y requerimientos de financiamiento gubernamentales netos durante períodos de crisis, sugiriendo un papel limitado de bonos largos en el seguro fiscal.