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This paper empirically explores how fiscal policy (represented by increases in government spending) has asymmetric effects on economic activity at different levels of real interest rates. It suggests that the effect of fiscal policy depends on the level of real rates, since the Ricardian effect is smaller at lower financing costs of fiscal policy. Using threshold regression models on U.S. data, the paper provides new evidence that expansionary government spending is more conducive to short-run growth when real rates are low. It also finds asymmetric effects on interest rates and inflation, and threshold effects associated with substitution between financing methods.

Government spending policy -- Econometric models. --- Government spending policy -- United States -- Econometric models. --- Interest rates -- Econometric models. --- Interest rates -- United States -- Econometric models. --- Banks and Banking --- Inflation --- Macroeconomics --- Public Finance --- National Government Expenditures and Related Policies: General --- Interest Rates: Determination, Term Structure, and Effects --- Macroeconomics: Production --- Fiscal Policy --- Price Level --- Deflation --- Public finance & taxation --- Finance --- Expenditure --- Real interest rates --- Production growth --- Fiscal policy --- Expenditures, Public --- Interest rates --- Production --- Economic theory --- Prices --- United States --- Government spending policy --- Econometric models.

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Based on the observed behavior of monetary aggregates and exchange rates, we classify inflation-stabilization episodes into two categories: de facto exchange rate-based stabilizations (ERBS) and non-ERBS. Unlike the standard de jure ERBS studied in the literature, de facto ERBS encompass cases in which the central bank intervenes in the foreign exchange market but does not preannounce the use of an exchange rate anchor. The number of the de facto ERBS is twice as large as that of de jure ERBS. Output dynamics during disinflation do not differ significantly between these two groups. We conclude that empirical studies on the effects of exchange rate anchors must seek to disentangle the effects of their announcement from those related to their role in the remonetization process.

Electronic books. -- local. --- Foreign exchange rates -- Econometric models. --- Inflation (Finance) -- Econometric models. --- Interest rates -- Econometric models. --- Foreign Exchange --- Inflation --- Money and Monetary Policy --- Price Level --- Deflation --- Monetary Policy --- Monetary Policy, Central Banking, and the Supply of Money and Credit: General --- Monetary economics --- Macroeconomics --- Currency --- Foreign exchange --- Exchange rates --- Exchange rate anchor --- Monetary base --- Disinflation --- Prices --- Monetary policy --- Money supply --- Argentina --- Inflation (Finance) --- Foreign exchange rates --- Interest rates --- Econometric models.

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This paper uses a dataset on private-sector risk aversion as well as expectations of long-run growth and debt to explain trends in implied forward rates on government bonds in the G-7 countries. The results show, consistent with the literature, that a one-percent rise in the long-run projected debt-to-GDP ratio causes an increase in bond yields of a relatively modest 1-to-6 basis points. Shocks to growth expectations and risk aversion have been comparatively more successful in explaining the behavior of long-term rates. The findings imply that growth policies rather than long-run projections of fiscal outcomes may be more important in helping influence long-term borrowing costs.

Debts, Public -- Econometric models. --- Economic development -- Econometric models. --- Interest rates -- Econometric models. --- Political Science --- Law, Politics & Government --- Public Finance --- Banks and Banking --- Macroeconomics --- Monetary Policy --- Fiscal Policy --- Open Economy Macroeconomics --- Financing Policy --- Financial Risk and Risk Management --- Capital and Ownership Structure --- Value of Firms --- Goodwill --- Interest Rates: Determination, Term Structure, and Effects --- Debt --- Debt Management --- Sovereign Debt --- Financial Crises --- Finance --- Public finance & taxation --- Economic & financial crises & disasters --- Private debt --- Long term interest rates --- Yield curve --- Public debt --- Global financial crisis of 2008-2009 --- National accounts --- Financial services --- Financial crises --- Interest rates --- Debts, Public --- Global Financial Crisis, 2008-2009 --- Italy

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This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as measures of interest rate exposure; a VaR statistic as the prominent measure of exchange rate exposure; the balance sheet approach (or contingent claims approach), and its consequent probability of default as the most promising measure of credit risk exposure; and an elasticity approach and a VaR statistic to measure liquidity risk. Along with the formulas for the various statistics proposed, we provide simple examples of their application to some common risk valuation cases. Finally, we present an integrated approach for the simultaneous estimation of a portfolio's interest rate and exchange rate risk using the VaR methodology. The integrated approach is then extended to also include N risk factors. This approach allows us to measure the total risk of a portfolio, provided that the volatilities and correlations among the risk factors can be estimated.

Credit -- Econometric models. --- Debts, Public -- Econometric models. --- Electronic books. -- local. --- Government securities -- Econometric models. --- Interest rates -- Econometric models. --- Liquidity (Economics) -- Econometric models. --- Risk -- Econometric models. --- Business & Economics --- Economic Theory --- Risk --- Interest rates --- Credit --- Liquidity (Economics) --- Government securities --- Debts, Public --- Econometric models. --- Debts, Government --- Government debts --- National debts --- Public debt --- Public debts --- Sovereign debt --- Government agency securities --- Government bonds --- Public securities --- Treasuries (Securities) --- Treasury bonds --- Borrowing --- Assets, Frozen --- Frozen assets --- Debt --- Bonds --- Deficit financing --- Securities --- Finance --- Money --- Loans --- Economics --- Uncertainty --- Probabilities --- Profit --- Risk-return relationships --- Banks and Banking --- Investments: Bonds --- Financing Policy --- Financial Risk and Risk Management --- Capital and Ownership Structure --- Value of Firms --- Goodwill --- General Financial Markets: General (includes Measurement and Data) --- Financial services law & regulation --- Investment & securities --- Credit risk --- Liquidity risk --- Market risk --- Exchange rate risk --- Financial risk management --- United States