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Modelling interest payments for macroeconomic assessment

Author

Listed:
  • Celestino Girón

    (European Central Bank)

  • Marta Morano

    (Autoridad independiente de responsabilidad fiscal)

  • Enrique M. Quilis

    (Autoridad independiente de responsabilidad fiscal)

  • Daniel Santabárbara

    (Banco de España)

  • Carlos Torregrosa

    (Banco de España)

Abstract

In this paper we present a methodology designed to estimate the future path of the interest payments of central government. The basic idea is to represent in a compact way the joint dynamics of debt liabilities and interest payments as a function of four elements: the initial outstanding amounts of debt, the expected primary funding needs, the expected yield curves and the expected issuance strategy to be followed by the government. The procedure is amenable to scenario-based simulation and produces a detailed representation of the debt term structure. We provide results for the period 2015-2025.

Suggested Citation

  • Celestino Girón & Marta Morano & Enrique M. Quilis & Daniel Santabárbara & Carlos Torregrosa, 2016. "Modelling interest payments for macroeconomic assessment," Working Papers 1612, Banco de España.
    • Handle: RePEc:bde:wpaper:1612
    as

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    File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/16/Fich/dt1612e.pdf
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    References listed on IDEAS

    as
    1. Juan S. Mora-Sanguinetti & Nuno Garoupa, 2015. "Litigation in Spain 2001-2010: Exploring the market for legar services," Working Papers 1505, Banco de España.
    2. David Bolder, 2008. "The Canadian Debt-Strategy Model," Bank of Canada Review, Bank of Canada, vol. 2008(Summer), pages 5-18.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    interest payments; yield curve; forward rates; debt dynamics;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • 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

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