Mardi 2 mai 2023

Le 9 mai 2023

Le prochain séminaire du GAINS a lieu le 2 mai 2023 de 10h30 à 12h00 en salle de conférence de l'IRA. 

Sarah MOUABBI (Banque de France & Queen Mary, University of London) présentera un papier intitulé Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective  co-écrit avec Jean-Paul RENNE (University of Lausanne) et Jean-Guillaume SAHUC (Banque de France).

Abstract:  We study the debt-stabilizing properties of indexing debt to GDP using a consumption-based macrofinance model. Three results stand out. First, GDP-linked bond prices would embed sizeable and timevarying risk premiums of about 40 basis points. Second, for a fixed budget surplus, issuing GDP linked securities does not necessarily imply more beneficial debt-to-GDP ratios in the medium- to long-run. Third, the debt-stabilizing budget surplus is more predictable under such issuances at the expense of being higher on average. Our findings call into question the view that GDP-linked securities tame debt.