FMI - Working paper : Public Debt in Advanced Economies and its Spillover Effects on Long-term Yields
mercredi 31 août 2011 FMISummary: Several models establish a positive
association between public debt ratios and long-term real yields,
but the empirical evidence is not always conclusive. We reconsider
this issue, focusing in particular on possible spillover effects of
large advanced economies’ debt levels to other economies’ borrowing
yields, especially in emerging markets. We extend the existing
literature by using real time expectations of fiscal and other
macroeconomic variables for a large sample of advanced and emerging
economies. We show that an increase in the public debt levels of
large advanced economies - especially the United States - spills
over to both emerging markets and other advanced economies’
long-term real yields and that this effect is significant at the
current levels of advanced economies’ debt ratios.
http://www.imf.org/external/pubs/cat/longres.aspx?sk=25201.0
http://www.imf.org/external/pubs/cat/longres.aspx?sk=25201.0