システム情報系
社会工学域
2019年度
ファカルティ・セミナー(Faculty Seminar)
日時:2019年8月1日(木)16:30
– 18:00
場所:3F1200L(3F棟12階)
講演者:松岡
秀明
氏(World
Bank)
司会者:原田
信行
Title: "Debt intolerance:"
Threshold of level and composition
Abstract:
This paper investigates
the threshold values to explain the non-linear behavior of the long-term
interest rate by developing the novel approach: the panel smooth transition
regression with the general logistic model. Our main finding is threefold: (i)
Provided that the share of foreign private investors is above 20 percent, the
more the public debt is financed by foreign private investors, the greater the
impact of the increase in the expected public debt on the interest rate.
Otherwise, strong home bias would mitigates the upward pressure of the increase
in public debt on the interest rate. (ii) If the expected public debt-to-GDP
ratio exceeds the certain level which depends on the funding source, the
increase in foreign private holdings of government debt would cause a rise of
long-term interest rates, offsetting the downward effect on long-term interest
rates by expanding market liquidity. (iii) Out-of-sample forecast of our novel
non-linear model is more accurate than traditional methods.