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Udržitelnost dluhového financování státu a její interakce s kvantitativním uvolňováním: případ USA, UK a Japonska v letech 2000-2014
[Government Debt Financing Sustainability and Its Interaction with Quantitative Easing - a Case of US, UK and Japan in 2000-2014]

Author

Listed:
  • Jiří Štekláč
  • Miroslav Titze

Abstract

The paper examines the quantitative easing as a policy contributing to government debt sustainability in the context of government debt cycle. Thus, the emphasis is primarily not put on the rescue of financial system after the collapse of Lehman Brothers. Instead, the attention is paid to a role of central bank as a lender of last resort in government bond markets and quasi-fiscal motivation of the quantitative easing programs. The theoretical part of the analysis defi nes quasi-fiscally motivated QE program, government adjusted net debt position plus its determinants and a rate of debt monetization. Empirical analysis focuses on the case of three large economies - United States, United Kingdom and Japan, empirical defi nition of quasi-fiscally motivated quantitative easing, net debt position of their governments as well as the explanation of significant empirical relationships between its determinants. The paper concludes that the most important factor infl uencing net debt position dynamics is economic growth which cannot be relied on in bust phase of debt cycle. Thus, the decisive role is played by quantitative easing and related interest transmission channel as remaining factor influencing dynamics of government fnancial assets and liabilities.

Suggested Citation

  • Jiří Štekláč & Miroslav Titze, 2016. "Udržitelnost dluhového financování státu a její interakce s kvantitativním uvolňováním: případ USA, UK a Japonska v letech 2000-2014
    [Government Debt Financing Sustainability and Its Interaction wi
    ," Politická ekonomie, University of Economics, Prague, vol. 2016(3), pages 293-318.
  • Handle: RePEc:prg:jnlpol:v:2016:y:2016:i:3:id:1073:p:293-318
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    References listed on IDEAS

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    1. Richard Koo, 2011. "The World in Balance Sheet Recession," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(63), pages 7-39, July - Se.
    2. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(2 (Fall)), pages 215-287.
    3. Michael A.S. Joyce & Matthew Tong, 2012. "QE and the Gilt Market: a Disaggregated Analysis," Economic Journal, Royal Economic Society, vol. 122(564), pages 348-384, November.
    4. Stefania D'Amico & Thomas B. King, 2010. "Flow and stock effects of large-scale Treasury purchases," Finance and Economics Discussion Series 2010-52, Board of Governors of the Federal Reserve System (US).
    5. Shigeru Iwata, 2010. "Monetary Policy and the Term Structure of Interest Rates When Short-Term Rates Are Close to Zero," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 28, pages 59-78, November.
    6. Tao Wu, 2014. "Unconventional Monetary Policy and Long-Term Interest Rates," IMF Working Papers 14/189, International Monetary Fund.
    7. Jack Meaning & Feng Zhu, 2011. "The impact of recent central bank asset purchase programmes," BIS Quarterly Review, Bank for International Settlements, December.
    8. Michael A. S. Joyce & Ana Lasaosa & Ibrahim Stevens & Matthew Tong, 2011. "The Financial Market Impact of Quantitative Easing in the United Kingdom," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 113-161, September.
    9. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 43(2 (Fall)), pages 215-287.
    10. David Andolfatto & Li Li, 2013. "Is the Fed monetizing government debt?," Economic Synopses, Federal Reserve Bank of St. Louis.
    11. Robert Jarrow & Hao Li, 2014. "The impact of quantitative easing on the US term structure of interest rates," Review of Derivatives Research, Springer, vol. 17(3), pages 287-321, October.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    monetary policy; interest rates; quantitative easing; net debt position;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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