Impact of Sovereign Debt Maturity on Fiscal Sustainability
研究了公共债务期限结构对财政可持续性的影响，发现期限超过10年的主权借款显著降低财政响应性，而3至5年期限的债务则与最高响应性相关。
ABSTRACT This study is the first to investigate the impact of the term structure of public debt on fiscal sustainability. We adopt the widely used backward‐looking measure of fiscal sustainability—fiscal responsiveness as proposed by Bohn. Using data from De Graeve and Mazzolini and focusing on a sample of 19 most developed countries, we demonstrate that sovereign borrowing with maturity above 10 years significantly reduces fiscal responsiveness. Conversely, public debt with maturity between 3 and 5 years is associated with the highest responsiveness of the primary balance to public debt. The findings indicate that the increase of long‐term public debt since the beginning of this century has contributed to reducing fiscal responsiveness by half. Furthermore, unconventional monetary policy, by suppressing yields at longer maturities, has likely played a key role in the discovered relationship.