Assessing Loss of Market Access: Conceptual and Operational Issues

Guscina, Anastasia; Malik, Sheheryar; Papaioannou, Michael G.

doi:10.5089/9781484324936.001

Cited by 14 publications

(15 citation statements)

References 17 publications

(14 reference statements)

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“…In this case, countries may have continued to access bond markets for financing, but the conditions on which they did so were hard to sustain in the long run. According to Guscina, Malik and Papaioannou (2017) an assessment of whether a sovereign continues to have market access would be based on whether the sovereign can tap bond markets on a sustained basis, across a range of maturities (in both local and foreign currencies) at interest rates compatible with reasonable medium-term growth rates and an achievable primary fiscal position. More precisely, Guscina, Malik and Papaioannou (2017) employ a decision rule according to which they identify periods associated with default or restructuring as LMA.…”

Section: Defining Episodes Of High Sovereign Bond Market Tensionsmentioning

confidence: 99%

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Quantifying Risks to Sovereign Market Access: Methods and Challenges

Erce

Jiang²,

Žigraiová³

2020

SSRN Journal

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In this paper we use data from the euro area to study episodes when sovereigns lose market access. We construct a detailed dataset with potential indicators of market access tensions, and evaluate their ability to forecast episodes when market access is lost, using various econometric approaches. We find that factors associated with high market access tensions are not limited to financial markets, but also encompass developments in global demand, macroeconomic conditions and the fiscal stance. Using the top-performing indicators, we construct a number of market tension indices and use them as single predictors of market access tensions. While such indices are helpful in capturing worsening conditions, they do not yield satisfactory out-of-sample results. On the other hand, using the same top-performing indicators in various multivariate models generates good forecasts of upcoming difficulties in accessing sovereign bond markets. Our results thus point to a trade-off between communicability and accuracy that policymakers face in the search for tools to evaluate risks to market access.

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Section: Defining Episodes Of High Sovereign Bond Market Tensionsmentioning

confidence: 99%

“…ESM/IMF program dates II. Periods identified by Guscina, Malik & Papaioannou (2017) III. Periods when 10-year spread to Germany is above the 90 th percentile of the spread distribution for the full sample, which corresponds approximately to 350 basis points 5…”

Section: Defining Episodes Of High Sovereign Bond Market Tensionsmentioning

confidence: 99%

Quantifying Risks to Sovereign Market Access: Methods and Challenges

Erce

Jiang²,

Žigraiová³

2020

SSRN Journal

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“…Table 1. Fiscal Crises Episodes Sources: Bloomberg; Datastream; Eurostat; Gelos, Sahay, and Sandleris 2004; Guscina, Sheheryar, and Papaioannou (2017); IMF, International Financial Statistics; OECD; Reuters; and authors' calculations.…”

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confidence: 99%

“…Overlap with Other Crises, 1980-2016 (Number of crises episodes)Sources: Bloomberg; Datastream; Eurostat; Gelos, Sahay, and Sandleris(2004);Guscina, Sheheryar, and Papaioannou (2017); IMF, International Financial Statistics; Laeven and Valencia (2018); OECD; Reuters; and authors' calculations. 1/ Two crises are identified as overlapping if they start within two years of each other.…”

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confidence: 99%

Debt Is Not Free

Badia¹,

Medas²,

Gupta³

et al. 2020

IMF Working Papers

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With public debt soaring across the world, a growing concern is whether current debt levels are a harbinger of fiscal crises, thereby restricting the policy space in a downturn. The empirical evidence to date is however inconclusive, and the true cost of debt may be overstated if interest rates remain low. To shed light into this debate, this paper re-examines the importance of public debt as a leading indicator of fiscal crises using machine learning techniques to account for complex interactions previously ignored in the literature. We find that public debt is the most important predictor of crises, showing strong non-linearities. Moreover, beyond certain debt levels, the likelihood of crises increases sharply regardless of the interest-growth differential. Our analysis also reveals that the interactions of public debt with inflation and external imbalances can be as important as debt levels. These results, while not necessarily implying causality, show governments should be wary of high public debt even when borrowing costs seem low.

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“…The tool is currently operational and available to IMF staff (see Abramov, Mirestean andPapaioannou, 2017).©International Monetary Fund. Not for Redistribution…”

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confidence: 99%

A Primer on Managing Sovereign Debt-Portfolio Risks

Jonasson

Papaioannou

2018

IMF Working Papers

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This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and attain desired portfolio structures. Also, the paper outlines how LMOs could be integrated into a debt management strategy and serve as policy tools to reduce potential debt portfolio vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk management framework, interactions of debt management with fiscal policy, monetary policy, and financial stability, as well as efficient government bond markets.

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Assessing Loss of Market Access: Conceptual and Operational Issues

Cited by 14 publications

References 17 publications

Quantifying Risks to Sovereign Market Access: Methods and Challenges

Quantifying Risks to Sovereign Market Access: Methods and Challenges

Debt Is Not Free

A Primer on Managing Sovereign Debt-Portfolio Risks

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