Investigating shifts in public debt management behaviour in France

Christophe Schalck

Economics Bulletin, 2019, vol. 39, issue 2, 1656-1665

Abstract: The aim of this paper is to identify some shifts in the behaviour of public debt managers in France. The behaviour is described using a reaction function and the documented impact of cost and risk considerations on the share of short-term debt. Using a Markov switching approach, distinguishing normal versus crisis episodes over the period of 1998-2015, endogenous shifts in public debt behaviour are identified. The results show non-monotonicity in French public debt management behaviour. In the crisis regime, findings show larger responses to changes in interest rates and in the liquidity of the long-term bond market.

Keywords: Public debt; debt instruments; Markov switching model; crisis (search for similar items in EconPapers)
JEL-codes: E6 H6 (search for similar items in EconPapers)
Date: 2019-06-23
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2019/Volume39/EB-19-V39-I2-P156.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-18-00879

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().