Short and long-term interest rate risk: The sovereign balance-sheet nexus

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2019
Outros Autores: Alves, José
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/25502
Resumo: We compute stock-flow adjustments (SFA) using sovereign balance sheet developments, and assess their effects on short and long-term interest rates for 14 European countries between 1970 and 2015, in a panel and SUR analysis. We find that an increase in SFA reduces long- and shortterm interest rates, with higher reductions for short-term rates. Furthermore, the decreasing effects of an increment in the stock-flow have reduced since the 2008–2009 financial crisis. As expected, there is also an upward push on both interest rates from a rise in sovereign indebtedness.
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spelling Short and long-term interest rate risk: The sovereign balance-sheet nexusStock-Flow AdjustmentDebtInterest RatesSURPanel DataWe compute stock-flow adjustments (SFA) using sovereign balance sheet developments, and assess their effects on short and long-term interest rates for 14 European countries between 1970 and 2015, in a panel and SUR analysis. We find that an increase in SFA reduces long- and shortterm interest rates, with higher reductions for short-term rates. Furthermore, the decreasing effects of an increment in the stock-flow have reduced since the 2008–2009 financial crisis. As expected, there is also an upward push on both interest rates from a rise in sovereign indebtedness.ElsevierRepositório da Universidade de LisboaAfonso, AntónioAlves, José2022-09-15T08:32:06Z20192019-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25502engAfonso, António, and José Alves. (2019). "Short and long-term interest rate risk: The sovereign balance-sheet nexus". Finance Research Letters , Vol. 31: pp. 294-299.1544-612310.1016/j.frl.2018.11.014info: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:RCAAP2023-03-06T14:55:04Zoai:www.repository.utl.pt:10400.5/25502Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:21.674751Repositório 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 Short and long-term interest rate risk: The sovereign balance-sheet nexus
title Short and long-term interest rate risk: The sovereign balance-sheet nexus
spellingShingle Short and long-term interest rate risk: The sovereign balance-sheet nexus
Afonso, António
Stock-Flow Adjustment
Debt
Interest Rates
SUR
Panel Data
title_short Short and long-term interest rate risk: The sovereign balance-sheet nexus
title_full Short and long-term interest rate risk: The sovereign balance-sheet nexus
title_fullStr Short and long-term interest rate risk: The sovereign balance-sheet nexus
title_full_unstemmed Short and long-term interest rate risk: The sovereign balance-sheet nexus
title_sort Short and long-term interest rate risk: The sovereign balance-sheet nexus
author Afonso, António
author_facet Afonso, António
Alves, José
author_role author
author2 Alves, José
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Alves, José
dc.subject.por.fl_str_mv Stock-Flow Adjustment
Debt
Interest Rates
SUR
Panel Data
topic Stock-Flow Adjustment
Debt
Interest Rates
SUR
Panel Data
description We compute stock-flow adjustments (SFA) using sovereign balance sheet developments, and assess their effects on short and long-term interest rates for 14 European countries between 1970 and 2015, in a panel and SUR analysis. We find that an increase in SFA reduces long- and shortterm interest rates, with higher reductions for short-term rates. Furthermore, the decreasing effects of an increment in the stock-flow have reduced since the 2008–2009 financial crisis. As expected, there is also an upward push on both interest rates from a rise in sovereign indebtedness.
publishDate 2019
dc.date.none.fl_str_mv 2019
2019-01-01T00:00:00Z
2022-09-15T08:32:06Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/25502
url http://hdl.handle.net/10400.5/25502
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António, and José Alves. (2019). "Short and long-term interest rate risk: The sovereign balance-sheet nexus". Finance Research Letters , Vol. 31: pp. 294-299.
1544-6123
10.1016/j.frl.2018.11.014
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.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
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
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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