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Fiscal insurance during financial distress: the case of Belgian sovereign debt in the 21st century

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dc.contributor.author Alturki, Deema
dc.contributor.author Bernstein, Emil
dc.contributor.author Lara White, Isabela
dc.date.accessioned 2023-12-01T15:17:30Z
dc.date.available 2023-12-01T15:17:30Z
dc.date.issued 2023-06-12
dc.identifier.uri http://hdl.handle.net/10230/58429
dc.description Treball fi de màster de: Master's Degree in Specialized Economic Analysis: Macroeconomic Policy and Financial Markets Program. Curs 2022-2023
dc.description Tutors: Hugo Rodríguez-Mendizábal i Luca Gambetti
dc.description.abstract We empirically test the theoretical hypothesis that long term bonds offer governments fiscal insurance in times of crisis, analyzing Belgian sovereign debt dynamics during the 21st century. We use a novel data set of monthly prices and quantities for bonds in circulation between 2000 and 2022. We calculate total market value of debt and one- period holding returns, capturing the funding cost in the government’s inter temporal budget constraint. The main findings of the study indicate a positive co movement between bond prices and government net funding requirement during periods of financial distress, suggesting a limited role of long bonds in fiscal insurance.
dc.description.abstract Examinamos empíricamente la hipótesis teórica que bonos de larga duración ofrecen seguro fiscal a gobiernos en tiempos de crisis, analizando la deuda soberana Belga durante el siglo XXI. Utilizamos una novedosa base de datos de precios y cantidades de bonos en circulación entre 2000 y 2022. Calculamos valor de mercado total de la deuda y rendimientos de tenencia de un período, capturando costos de financiamiento en la limitación presupuestaria inter-temporal del gobierno. Encontramos co movimiento positivo entre precios de bonos y requerimientos de financiamiento gubernamentales netos durante períodos de crisis, sugiriendo un papel limitado de bonos largos en el seguro fiscal.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.rights This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
dc.rights.uri https://creativecommons.org/licenses/by-nc-nd/4.0
dc.subject.other Treball de fi de màster – Curs 2022-2023
dc.title Fiscal insurance during financial distress: the case of Belgian sovereign debt in the 21st century
dc.type info:eu-repo/semantics/masterThesis
dc.subject.keyword Maturity structure
dc.subject.keyword Financial crises
dc.subject.keyword Debt management
dc.subject.keyword Manejo de deuda
dc.subject.keyword Estructura vencimiento
dc.subject.keyword Crisis financiera
dc.rights.accessRights info:eu-repo/semantics/openAccess

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