GDP-linked bonds : design, effects, pricing and way forward
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/23193 |
Resumo: | GDP-linked bonds could play an important role in helping countries to avoid solvency crises, defaults and sovereign debt restructurings. Indexing a country’s debt payments to its economic performance could give governments some type of insurance against periods of declining growth rates. In this context, this thesis illustrates the potential advantages of the issuance of such an instrument, namely by quantifying the above mentioned insurance effect. As such, the interest savings for a group of countries most affected by the European sovereign debt crisis should they have issued GDP-linked bonds in the beginning of the decade are calculated. It is concluded that theses savings would have been considerable. Furthermore, in order to understand the additional room for countercyclical fiscal measures created by this product, the correlation between primary balance and GDP growth is simulated for both scenarios: debt with indexation to GDP growth and without it. It is then concluded that correlation between those two variables would be significantly higher with indexation. In the same vein, it is also simulated the issuance of this instrument in currency unions, in particular in the euro area, applying the corresponding fiscal constraint to the total deficit of 3% of GDP. Thus, the correlation between primary balance and GDP growth shows that indexing debt to GDP growth has the potential to offset the curbing effect of the mentioned constraint. Moreover, through simple regressions and using the Capital Asset Pricing Model, it is concluded that the portion of undiversified risk associated to the indexation to GDP growth would be low. |
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GDP-linked bonds : design, effects, pricing and way forwardDomínio/Área Científica::Ciências Sociais::Economia e GestãoGDP-linked bonds could play an important role in helping countries to avoid solvency crises, defaults and sovereign debt restructurings. Indexing a country’s debt payments to its economic performance could give governments some type of insurance against periods of declining growth rates. In this context, this thesis illustrates the potential advantages of the issuance of such an instrument, namely by quantifying the above mentioned insurance effect. As such, the interest savings for a group of countries most affected by the European sovereign debt crisis should they have issued GDP-linked bonds in the beginning of the decade are calculated. It is concluded that theses savings would have been considerable. Furthermore, in order to understand the additional room for countercyclical fiscal measures created by this product, the correlation between primary balance and GDP growth is simulated for both scenarios: debt with indexation to GDP growth and without it. It is then concluded that correlation between those two variables would be significantly higher with indexation. In the same vein, it is also simulated the issuance of this instrument in currency unions, in particular in the euro area, applying the corresponding fiscal constraint to the total deficit of 3% of GDP. Thus, the correlation between primary balance and GDP growth shows that indexing debt to GDP growth has the potential to offset the curbing effect of the mentioned constraint. Moreover, through simple regressions and using the Capital Asset Pricing Model, it is concluded that the portion of undiversified risk associated to the indexation to GDP growth would be low.Bonfim, Diana Carina Ribeiro GuimarãesVeritati - Repositório Institucional da Universidade Católica PortuguesaPereira, David Miguel Taylor de Jesus Marques2017-10-25T14:27:49Z2017-07-2620172017-07-26T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/23193TID:201739275enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:29:18Zoai:repositorio.ucp.pt:10400.14/23193Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:19:09.145627Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
GDP-linked bonds : design, effects, pricing and way forward |
title |
GDP-linked bonds : design, effects, pricing and way forward |
spellingShingle |
GDP-linked bonds : design, effects, pricing and way forward Pereira, David Miguel Taylor de Jesus Marques Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
GDP-linked bonds : design, effects, pricing and way forward |
title_full |
GDP-linked bonds : design, effects, pricing and way forward |
title_fullStr |
GDP-linked bonds : design, effects, pricing and way forward |
title_full_unstemmed |
GDP-linked bonds : design, effects, pricing and way forward |
title_sort |
GDP-linked bonds : design, effects, pricing and way forward |
author |
Pereira, David Miguel Taylor de Jesus Marques |
author_facet |
Pereira, David Miguel Taylor de Jesus Marques |
author_role |
author |
dc.contributor.none.fl_str_mv |
Bonfim, Diana Carina Ribeiro Guimarães Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Pereira, David Miguel Taylor de Jesus Marques |
dc.subject.por.fl_str_mv |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
GDP-linked bonds could play an important role in helping countries to avoid solvency crises, defaults and sovereign debt restructurings. Indexing a country’s debt payments to its economic performance could give governments some type of insurance against periods of declining growth rates. In this context, this thesis illustrates the potential advantages of the issuance of such an instrument, namely by quantifying the above mentioned insurance effect. As such, the interest savings for a group of countries most affected by the European sovereign debt crisis should they have issued GDP-linked bonds in the beginning of the decade are calculated. It is concluded that theses savings would have been considerable. Furthermore, in order to understand the additional room for countercyclical fiscal measures created by this product, the correlation between primary balance and GDP growth is simulated for both scenarios: debt with indexation to GDP growth and without it. It is then concluded that correlation between those two variables would be significantly higher with indexation. In the same vein, it is also simulated the issuance of this instrument in currency unions, in particular in the euro area, applying the corresponding fiscal constraint to the total deficit of 3% of GDP. Thus, the correlation between primary balance and GDP growth shows that indexing debt to GDP growth has the potential to offset the curbing effect of the mentioned constraint. Moreover, through simple regressions and using the Capital Asset Pricing Model, it is concluded that the portion of undiversified risk associated to the indexation to GDP growth would be low. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-10-25T14:27:49Z 2017-07-26 2017 2017-07-26T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/23193 TID:201739275 |
url |
http://hdl.handle.net/10400.14/23193 |
identifier_str_mv |
TID:201739275 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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