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
講演者：松岡 秀明 氏（World Bank）
Title: "Debt intolerance:" Threshold of level and composition
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.