Financial stress and sovereign debt composition

被引：2
|
作者：
Agnello, Luca [1 ]
Castro, Vitor [2 ]
Jalles, Joao Tovar [3 ]
Sousa, Ricardo M. [4 ,5 ,6 ]
机构：
[1] Univ Palermo, Dept Econ Business & Stat SEAS, Palermo, Italy
[2] Univ Coimbra, Fac Econ, Coimbra, Portugal
[3] OECD, Econ Dept, Paris, France
[4] Univ Minho, Econ Policies Res Unit NIPE, Braga, Portugal
[5] Univ Minho, Dept Econ, Braga, Portugal
[6] London Sch Econ, LSE ALumni Assoc, London WC2A 2AE, England
来源：
APPLIED ECONOMICS LETTERS | 2016年 / 23卷 / 09期
关键词：
Financial stress; sovereign debt composition; currency; maturity; holders; marketability; H63; H12; G01; G15; PANEL-DATA;
D O I：
10.1080/13504851.2015.1100241
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using a panel of 13 advanced economies for the period 1980-2012, we find that periods of impaired financial intermediation mainly accrue to maturity mismatches in sovereign debt. Thus, a higher (lower) share of short-term (medium and long-term) debt leads to an increase in the financial stress index. From a policy perspective, our work suggests that debt management policies translated into longer average maturities of sovereign debt not only reduce the expected debt servicing cost, but also mitigate strains in the financial sector.
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页码：678 / 683
页数：6
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