scholarly journals External Debt Management in Pakistan: A Market-Based Assessment

2017 ◽  
Vol 22 (Special Edition) ◽  
pp. 25-51
Author(s):  
Jamshed Y. Uppal
Keyword(s):  
Interest Rates ◽  
Global Financial Crisis ◽  
External Debt ◽  
International Markets ◽  
Debt Management ◽  
Bond Yields ◽  
Yield Spreads ◽  
Marginal Costs ◽  
Low Interest Rates ◽  
The Global Financial Crisis

Economists typically use multiple indicators to assess the burden of external debt, such as the ratios of the stock of debt to exports and to gross national product, and the ratios of debt service to exports and to government revenue. As opposed to those methodologies, this article examines the Pakistan’s external debt position using a market based approach which analyzes the marginal costs of external debt as indicated by the yields on the country’s Eurobonds and the spreads on the Credit Default Swaps (CDS) traded in the international markets. The results show a sharp decline in the yields on the Pakistani Eurobonds from their peak reached during the global financial crisis (GFC) period and this decline was largely driven by quantitative easing and the resultant low interest rates in the international debt markets. Also, the continued decline in the yields in the more recent period, 2013-2017, was due to strengthening of the county’s borrowing capacity over the period. The analysis also shows that Pakistani yields seem to be converging to yields for other Asian countries, even though that the yield-spreads between Pakistan and others countries are still substantial. In conclusion the decrease in bond yields and CDS spreads may signal that the country’s external debt is currently at sustainable levels.

scholarly journals High-Frequency Estimates of the Natural Real Rate and Inflation Expectations

2021 ◽  
Vol 2021 (034) ◽  
pp. 1-32
Author(s):  
Alex Aronovich ◽  
◽  
Andrew Meldrum ◽  
Keyword(s):  
Interest Rates ◽  
High Frequency ◽  
Global Financial Crisis ◽  
Inflation Expectations ◽  
Study Analysis ◽  
Bond Yields ◽  
Short Term ◽  
Real Rate ◽  
Nominal Interest Rates ◽  
The Global Financial Crisis

We propose a new method of estimating the natural real rate and long-horizon inflation expectations, using nonlinear regressions of survey-based measures of short-term nominal interest rates and inflation expectations on U.S. Treasury yields. We find that the natural real rate was relatively stable during the 1990s and early 2000s, but declined steadily after the global financial crisis, before dropping more sharply to around 0 percent during the recent COVID-19 pandemic. Long-horizon inflation expectations declined steadily during the 1990s and have since been relatively stable at close to 2 percent. According to our method, the declines in both the natural real rate and long-horizon inflation expectations are clearly statistically significant. Our estimates are available at whatever frequency we observe bond yields, making them ideal for intraday event-study analysis--for example, we show that the natural real rate and long-horizon inflation expectations are not affected by temporary shocks to the stance of monetary policy.

scholarly journals Volatility of yields of government bonds among GIIPS countries during the sovereign debt crisis in the euro area

Equilibrium ◽  
2016 ◽  
Vol 11 (1) ◽  
pp. 61 ◽  
Author(s):  
Tomas Heryan ◽  
Jan Ziegelbauer
Keyword(s):  
Euro Area ◽  
Sovereign Debt ◽  
Global Financial Crisis ◽  
Debt Crisis ◽  
Sovereign Debt Crisis ◽  
Bond Yields ◽  
Government Bonds ◽  
Yield Spreads ◽  
Crisis Period ◽  
The Global Financial Crisis

The aim of the paper is to estimate, how the volatility of yields of the Greek bonds affects yields’ volatilities of bonds in selected European countries during the period of the sovereign debt crisis in the euro area. We obtained data for 10-year bonds in a weekly frequency from January 2006 till the end of December 2014. To make a comparison of pre-crisis period, we firstly investigate a bond yields’ volatility before 15th September 2008, when U.S. Leman Brothers bankrupted and the global financial crisis had been reflected in full. However, the period of the global financial crisis could also negatively affect the development of government bonds. Therefore, the period after Leman Brothers’ bankruptcy has been excluded and our crisis period starts after 23rd April 2010, when Greece asked the IMF for financial help and the sovereign debt crisis had been reflected in full. Volatility models GARCH (1,1), IGARCH (1,1) and TARCH (1,1) were used as an estimation method. To examine the risk premium of all GIIPS economies (Greece, Ireland, Italy, Portugal and Spain), we also compared the whole investigation with the developments of each spread against the yields of German government bonds. Our results clearly proved not only big differences between pre-crisis and crisis period, but also differences in output with the bond yield spreads. It was concluded that  there has been a higher impact of the Greek bond yields, as well as yield spreads volatility in 2010 and 2011, while it is on the lower level in pre-crisis period.

scholarly journals External Debt Sustainability in the Eurasian Economic Union Countries

2020 ◽  
Author(s):  
Junus Ganiev ◽  
Damira Baigonushova
Keyword(s):  
Global Financial Crisis ◽  
External Debt ◽  
Government Debt ◽  
Debt Management ◽  
Public And Private ◽  
Eurasian Economic Union ◽  
Current State ◽  
Economic Union ◽  
The Stability ◽  
The Global Financial Crisis

After the global financial crisis, there have been serious increases in state debt of most countries. In addition, the debts for economic development are constantly increasing in the Eurasian Economic Union countries. As a result, the sustainability problem of government debt arises. In some countries, such as Kyrgyzstan, a significant portion of government debt is taken from a single country. This situation increases the risk even more. The aim of the study is to analyze the sustainability of state debts comparatively in the countries of the Eurasian Economic Union. To this end, the current state of government and total external debt were analyzed in light of various sustainability rates. The ratio of government debt and debt service to variables such as Gross Domestic Product and export was determined and compared. ADF and PP unit root tests and quarterly data for the period 2008-2019 was used to determine the stability of external debt. According to the empirical results, it is showed that the external debt is unsustainable in EAEU countries. Therefore, they need to implement rational policies on external debt management, in both the public and private sectors.

The changing relationships between government bond yields and capitalisation rates

2015 ◽  
Vol 8 (2) ◽  
pp. 153-171 ◽  
Author(s):  
Colin Jones ◽  
Neil Dunse ◽  
Kevin Cutsforth
Keyword(s):  
Real Estate ◽  
Interest Rates ◽  
Structural Breaks ◽  
Global Financial Crisis ◽  
Bond Yields ◽  
Government Bonds ◽  
Content Type ◽  
Yield Gaps ◽  
The Global Financial Crisis ◽  
Over Time

Purpose – The purpose of this paper is to analyse the gap between government bonds (index-linked and long-dated) and real estate yields/capitalization rates over time for the UK, Australia and the USA. The global financial crisis was a sharp shock to real estate markets, and while interest rates and government bond yields fell in response around the world, real estate yields (cap rates) have risen. Design/methodology/approach – The absolute yield gap levels and their variation over time in the different countries are compared and linked to the theoretical reasons for the yield gap and, in particular, a changing real estate risk premium. Within this context, it assesses whether there have been structural breaks in long-term relationships during booms and busts based on autoregressive conditionally heteroscedastic (ARCH) models. Finally, the paper provides further insights by constructing statistical models of index-linked and long-dated yield gaps. Findings – The relationships between bond and property yields go through a traumatic time around the period of the global financial crisis. These changes are sufficiently strong to be statistically defined as “structural breaks” in the time series. The sudden switch in the yield gaps may have stimulated a greater appreciation of structural change in the property market. Research limitations/implications – The research focuses on the most transparent real estate markets in the world, but other countries with less developed markets may respond differently. Practical implications – The practical implications relate to how to value real estate yields relative to interest rates. Originality/value – This is the first paper that has compared international yield gaps over time and examined the role of the gap between index-linked government bonds and real estate yields.

Policy will be key to supporting cashless consumption

2018 ◽  
Keyword(s):  
Interest Rates ◽  
Digital Divide ◽  
Financial Services ◽  
Global Financial Crisis ◽  
Content Type ◽  
Electronic Transactions ◽  
Opt Out ◽  
The World ◽  
Low Interest Rates ◽  
The Global Financial Crisis

Subject Cashless society transformation. Significance Transacting electronically is quicker and cheaper than using cash, provided the infrastructure is in place to support the transactions. Across the world, the number of electronic transactions and the supporting infrastructure has surged over the last two decades. Card payments averaged 25.3% of GDP in 2016 in the 24 countries the Committee for Payments and Markets Infrastructure covers, up from 12.8% in 2000. Despite this, cash retains a key role, paradoxically even more since the global financial crisis, as ultra-low interest rates in the ten post-crisis years reduced the opportunity cost of holding cash. Impacts All cashless transactions are automatically tracked, forcing consumers to sacrifice more privacy without the ability to ‘opt-out’. An individual’s credit standing will gain importance and may become as key to gaining employment as it is to accessing financial services. There will be a digital divide not only in access to and exclusion from financial services but also the ability to pay. Payments for services could become the fastest-growing category of cashless transactions.

scholarly journals Finance, financiers and financial centres: a special issue in honour of Youssef Cassis Introduction

2020 ◽  
Vol 27 (3) ◽  
pp. 283-302
Author(s):  
Carlo Edoardo Altamura ◽  
Martin Daunton
Keyword(s):  
Interest Rates ◽  
Global Financial Crisis ◽  
Social Characteristics ◽  
Special Issue ◽  
Low Interest Rates ◽  
Rise Of China ◽  
Initial Work ◽  
The Global Financial Crisis ◽  
City Of London ◽  
The Impact

This special issue celebrates the career of Youssef Cassis. The introduction will outline his major contributions from his initial work on social characteristics of the financiers of the City of London, and their relationship with landed aristocrats and industry, through his analysis of a succession of financial centres, the comparative study of big business, the relationship between finance and politics, to his new project on the memory of financial crises. Then, we will draw on Youssef's mode of analysis to consider some of the more pressing issues in the era since the global financial crisis and the impact of Covid-19. We will consider the role of central banks, the challenge of fintech, the impact of low interest rates on inequality, savings and debt, and the potential shift in financial centres and reserve currencies with the rise of China. We will conclude by arguing that the mode of analysis developed by Cassis over his long and productive career has never been more pertinent.

Thrift and Credit Cooperative Lending Channels under Prolonged Low-Interest Rates: The Case of Thailand

2020 ◽  
Vol 11 (1) ◽  
pp. 1-1
Author(s):  
Kovit Charnvitayapong
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Fixed Effects ◽  
Global Financial Crisis ◽  
Bank Lending ◽  
The United States ◽  
Credit Union ◽  
The European Union ◽  
Low Interest Rates ◽  
The Global Financial Crisis

Since the global financial crisis of 2007–08, the United States, Japan, and the European Union (EU) have heavily stimulated their economies with expansionary monetary policy. World finance has been affected by this policy conduct. Interest rates in most open economies were pushed to very low levels and have remained low ever since. Nevertheless, monetary stimulation has not improved the economic situation to a satisfactory level as of the end of 2019. Several studies such as Claudio Borio and Boris Hofmann (2017) and Nasha Ananchotikul and Dulani Seneviratne (2015) attempted to examine the inefficiency of expansionary monetary policy by looking at bank lending channels. Koot and Walker (1980) studied monetary policy effectiveness through credit union lending channels. They found that at first, credit unions responded well to expansionary monetary policy, but after prolonged easy money policy, the response died down. Keywords: Fixed effects, Lending channel, Prolonged low interest rates, Thrift and credit cooperatives (TCCs), Transmission mechanism.

Managing the Risks of Negative Interest Rates

2021 ◽  
Vol 16 (3) ◽  
pp. 4-8
Author(s):  
Ioannis Akkizidis ◽  
Keyword(s):  
Interest Rates ◽  
Global Financial Crisis ◽  
Great Majority ◽  
Government Debt ◽  
Interest Rate Risk ◽  
Loss Analysis ◽  
Long Run ◽  
Negative Interest Rates ◽  
Low Interest Rates ◽  
The Global Financial Crisis

The acceleration in the issuance of government debt since the global financial crisis has led central bankers to engineer interest rates that are historically low in nominal terms and consistently lower than inflation rates. Although the ostensible aim of this policy is to stimulate economic growth, maintaining negative real rates also goes a long way so that government debt is manageable and will decline in the long run, relative to the size of the economy. Financial institutions hold the great majority of government debt, and their books of retail and corporate loans are expanding briskly at a time when ultra-low interest rates make borrowing especially attractive. Rates paid on deposits are low, in advanced economies, even negative in the euro zone in nominal terms. That helps to offset the reduction in income that banks earn on their lending. Even so, the extreme and unique conditions resulting from persistent negative real interest rates mean that banks must take particular care to manage their interest-rate risk in the context of other risk types and the banks’ profit-and-loss analysis.

Keep your friends close and your enemies closer – the case of monetary policy and financial imbalances

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Małgorzata Iwanicz-Drozdowska ◽  
Łukasz Kurowski
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Financial Stability ◽  
Global Financial Crisis ◽  
Financial System ◽  
Main Tool ◽  
Monetary Policies ◽  
Low Interest Rates ◽  
The Stability ◽  
The Global Financial Crisis

Abstract The global financial crisis (GFC) has shown that monetary policy focused on a stable price level may negatively affect the stability of the financial system. Therefore, achieving price and financial stability using interest rates as the main tool is difficult. In this paper, we analyse how often monetary policy strengthened imbalances in the financial system in 20 countries from 1999Q1 to 2020Q2. To this end, we compare monetary policy stance with a novel financial imbalance index (FII). We find that monetary policy is material in aggravating financial imbalances mostly in Eurozone countries. We attribute this finding to the ECB’s “too loose, too long” monetary policy and to difficulties with applying single monetary policies in countries with different economic conditions and in different phases of credit and financial cycles. Our results point to a need for a proactive macroprudential policy in the environment of low interest rates.

Conclusions

2017 ◽  
Author(s):  
Yilmaz Akyüz
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Interest Rates ◽  
Global Financial Crisis ◽  
Developing Economies ◽  
Quantitative Easing ◽  
Unconventional Monetary Policy ◽  
Advanced Economies ◽  
The Global Financial Crisis ◽  
Zero Bound

The preceding chapters have examined the deepened integration of emerging and developing economies (EDEs) into the international financial system in the new millennium and their changing vulnerabilities to external financial shocks. They have discussed the role that policies in advanced economies played in this process, including those that culminated in the global financial crisis and the unconventional monetary policy of zero-bound interest rates and quantitative easing adopted in response to the crisis, as well as policies in EDEs themselves....

Sign in / Sign up

Export Citation Format

Share Document