Sovereign Debt Effects and Composition: Evidence from Time-Varying Estimates

Antonio Afonso and Joao Jalles

No 2017/03, Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa

Abstract: We compute time-varying responses of the sovereign debt ratio to primary budget balances for 13 advanced economies between 1980 and 2012, and assess how fiscal sustainability reacts to different characteristics of government debt. We find that the fiscal sustainability time-varying coefficient increases the higher the share of public debt denominated in foreign currency. Moreover, the countries become more sustainable if they contract a higher share of long-term public debt, if it is held by the central bank or if it is easily marketable. Key Words : sovereign debt, fiscal sustainability, time-varying coefficients, debt composition

JEL-codes: C23 E62 F34 H63 (search for similar items in EconPapers)
Date: 2017-01
New Economics Papers: this item is included in nep-fdg, nep-mac and nep-opm
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ise:isegwp:wp032017

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More papers in Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa Department of Economics, ISEG - Lisbon School of Economics and Management, Universidade de Lisboa, Rua do Quelhas 6, 1200-781 LISBON, PORTUGAL.
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