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The maturity composition of government debt: A comprehensive database

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  • De Graeve, Ferre
  • Mazzolini, Giulio

Abstract

We present a novel dataset which covers all central government debt issued by twenty OECD economies over the last quarter century and describe common features of debt management and the composition of debt across time and countries. Just like debt levels, debt maturity has substantially increased over this sample period. Despite this long term positive co-movement, there is a clear short term tendency for debt maturity to shorten as debt increases. Maturity is actively reshuffled, even at constant levels of debt. The majority of fluctuations in maturity are consistent with cost-minimization.

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  • De Graeve, Ferre & Mazzolini, Giulio, 2023. "The maturity composition of government debt: A comprehensive database," European Economic Review, Elsevier, vol. 154(C).
    • Handle: RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000673
    DOI: 10.1016/j.euroecorev.2023.104438
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    3. Franc Klaassen, Roel Beetsma and Joao Tovar Jalles, 2023. "How do governments respond to interest rates?," Working Papers REM 2023/0280, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.

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    More about this item

    Keywords

    Government debt management; Fiscal policy; Debt maturity;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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