Parameterizing Debt Maturity

Philip Barrett and Christopher Johns

Journal of Money, Credit and Banking, 2024, vol. 56, issue 6, 1321-1365

Abstract: We examine ways to describe the maturity structure of public debts using few parameters. We compile a novel data set of all promised future payments for U.S. and UK government debt from every month since 1869, and more recently for Peru, Poland, Egypt, and Nigeria. We show there is a unique parametric form which does not arbitrarily restrict debt issuance. We use this model to parsimoniously describe the evolution of public debt maturities and to characterize the relationship between maturity and the term structure of interest rates in the United States since 1940.

Date: 2024
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https://doi.org/10.1111/jmcb.13116

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Working Paper: Parameterizing Debt Maturity (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:56:y:2024:i:6:p:1321-1365

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