Travail de recherche/Working paper
| Résumé : | At a time when debt-to-GDP ratios are closely monitored in the Euro area, thispaper generates a set of stylized facts about sovereign debt and yields. First, Ipresent a new dataset on outstanding debt securities and yields for six EA countries(Belgium, Finland, France, Germany, Italy and Spain) from 1991 to 2013 that Ibuilt combining different sources. Thus, I can document, for example, that EAdebt duration increased by 2 years, mainly driven by demand. Second, based onthe government budget constraint, I calculate past contributions of returns on debtwith different maturities, inflation and other factors to EA debt-to-GDP changes andcompare them with the US experience. While primary deficits played an importantrole in the latter, returns on debt is the key factor in EA countries, especially whenlarge capital gains were paid to long-term bondholders before the introduction of theEuro. Also, although GDP growth contributions were similar, the EA relied moreon inflation and the US on real output growth. Finally, I estimate that 1% futurepermanently higher inflation would reduce EA debt ratios by 4%, an effect 2.4 timeshigher than the expected change in the US. |
