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.description Treball fi de màster de: Master's Degree in Specialized Economic Analysis: Macroeconomic Policy and Financial Markets Program. Curs 2022-2023ca
• 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.ca
• 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.identifier.uri http://hdl.handle.net/10230/58429
• dc.language.iso engca
• dc.rights This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licenseca
• dc.rights.accessRights info:eu-repo/semantics/openAccessca
• dc.rights.uri https://creativecommons.org/licenses/by-nc-nd/4.0ca
• 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.subject.other Treball de fi de màster – Curs 2022-2023ca
• dc.title Fiscal insurance during financial distress: the case of Belgian sovereign debt in the 21st centuryca
• dc.type info:eu-repo/semantics/masterThesisca