Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314091 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 23 [Issue:] 1 [Year:] 2020 [Pages:] 253-280
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
We explore the effects of fiscal and monetary policy shocks on key debt management variables and provide empirical evidence supporting the notion of a strict separation of economic policy from the debt management agenda. We find that a tighter monetary policy coupled with fiscal expansion increases the risk that government debt will have to be rolled over at unusually high cost. This is especially the case in a downturn, where low or even negative interest rates often provide incentives for debt managers to invest predominantly in short-term bonds. Our findings echo the post-crisis environment of low or even negative interest rates, where many debt managers altered their portfolios' structure in favor of short-term bonds. In this respect, we argue that debt managers should use a longer optimization horizon and base their strategy on the medium- and long-term economic outlook.
Subjects: 
Czech Republic
debt management
FAVAR
fiscal policy
monetary policy
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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