Modelling interest payments for macroeconomic assessment

Celestino Girón, Marta Morano, Enrique M. Quilis, Daniel Santabárbara and Carlos Torregrosa ()
Additional contact information
Celestino Girón: European Central Bank
Marta Morano: Autoridad independiente de responsabilidad fiscal
Enrique M. Quilis: Autoridad independiente de responsabilidad fiscal
Carlos Torregrosa: Banco de España

No 1612, Working Papers from Banco de España

Abstract: In this paper we present a methodology designed to estimate the future path of the interest payments of central government. The basic idea is to represent in a compact way the joint dynamics of debt liabilities and interest payments as a function of four elements: the initial outstanding amounts of debt, the expected primary funding needs, the expected yield curves and the expected issuance strategy to be followed by the government. The procedure is amenable to scenario-based simulation and produces a detailed representation of the debt term structure. We provide results for the period 2015-2025.

Keywords: interest payments; yield curve; forward rates; debt dynamics (search for similar items in EconPapers)
JEL-codes: E43 E44 E47 E63 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2016-06
New Economics Papers: this item is included in nep-ger and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... /16/Fich/dt1612e.pdf First version, June 2016 (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:bde:wpaper:1612

Access Statistics for this paper

More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().