Sự tương tác giữa nợ công và suất sinh lợi trái phiếu Chính phủ
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Bài viết này tìm hiểu sự tương tác giữa nợ công và suất sinh lợi trái phiếu chính phủ, dựa vào bộ dữ liệu hàng ngày (từ 01/04/1993 đến 27/05/2022) các biến đại diện nợ công hàng ngày (Debt to the Penny) và trái phiếu kỳ hạn 10 năm của nền kinh tế Hoa Kỳ. Kết quả cho thấy bằng chứng đáng tin cậy về sự tương tác này, được giải thích tốt nhất theo mô hình ADCC-GARCH với đặc tính là hiệu ứng bất đối xứng của hệ số tương quan động có điều kiện. Bằng chứng thực nghiệm cho thấy rằng, sự gia tăng nợ công dẫn đến sự gia tăng trong suất sinh lợi trái phiếu, nhưng đồng thời việc suất sinh lợi trái phiếu tăng lên lại góp phần làm giảm gánh nặng ngân sách. Kết quả này hàm ý rằng, việc sử dụng nợ công một cách phù hợp sẽ có tác động tích cực đến việc cân bằng giữa hai bộ công cụ tài khóa và tiền tệ. Tuy nhiên, các nhà làm chính sách cũng cần lưu ý rằng, chiến lược điều hành của họ nên được cân nhắc một cách thận trọng hơn trong các giai đoạn khủng hoảng tài chính và biến động toàn cầu, như được minh họa bởi chuỗi tương quan động có điều kiện giữa hai biến đại diện. Bài viết khảo sát về sự tương tác giữa các chỉ báo sớm và trễ của một nền kinh tế, qua đó thiết lập hướng mở rộng cho các nghiên cứu trong tương lai trên cả hai phương diện phương pháp luận và phạm vi nghiên cứu.
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Tài liệu tham khảo
Aizenman, J., & Marion, N. (2011). Using inflation to erode the US public debt. Journal of Macroeconomics, 33(4), 524-541. https://doi.org/10.1016/j.jedc.2021.104204
Albonico, A., Ascari, G., & Gobbi, A. (2021). The public debt multiplier. Journal of Economic Dynamics and Control, 132(C), 1-22. https://doi.org/10.1016/j.jedc.2021.104204
Ampofo, G. M., Jinhua, C., Bosah, P. C., Ayimadu, E. T., & Senadzo, P. (2021). Nexus between total natural resource rents and public debt in resource-rich countries: A panel data analysis. Resources Policy, 74, 102276. https://doi.org/10.1016/j.resourpol.2021.102276
Badia, M. M., Medas, P., Gupta, P., & Xiang, Y. (2022). Debt is not free. Journal of International Money and Finance, 127, 102654. https://doi.org/10.1016/j.jimonfin.2022.102654
Bartak, J., Jabłoński, Ł., & Tomkiewicz, J. (2022). Does income inequality explain public debt change in OECD countries? International Review of Economics & Finance, 80, 211-224. https://doi.org/10.1016/j.iref.2022.02.045
Bernardini, M., & Forni, L. (2020). Private and public debt interlinkages in bad times. Journal of International Money and Finance, 109, 102239. https://doi.org/10.1016/j.jimonfin.2020.102239
Bollerslev, T. (1990). Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model. The Review of Economics and Statistics, 72(3), 498-505. https://doi.org/10.2307/2109358
Boly, M., Combes, J. L., Menuet, M., Minea, A., Motel, P. C., & Villieu, P. (2022). Can public debt mitigate environmental debt? Theory and empirical evidence. Energy Economics, 111, 105895. https://doi.org/10.1016/j.eneco.2022.105895
Burkholder, A. A. (1980). New Approaches To The Use Of Lagging Indicators. Business Economics, 15(3), 20–24. http://www.jstor.org/stable/23482533
Bystrov, V., & Mackiewicz, M. (2020). Recurrent explosive public debts and the long-run fiscal sustainability. Journal of Policy Modeling, 42(2), 437-450. https://doi.org/10.1016/j.jpolmod.2019.10.002
Caner, M., Fan, Q., & Grennes, T. (2021). Partners in debt: An endogenous non-linear analysis of the effects of public and private debt on growth. International Review of Economics & Finance, 76, 694-711. https://doi.org/10.1016/j.iref.2021.07.010
Cappiello, L., Engle, R. F., & Sheppard, K. (2006). Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. Journal of Financial Econometrics, 4(4), 537–572. https://doi.org/10.1093/jjfinec/nbl005
Carrera, J., & de la Vega, P. (2021). The impact of income inequality on public debt. The Journal of Economic Asymmetries, 24, e00216. https://doi.org/10.1016/j.jeca.2021.e00216
Chien, Y., & Wen, Y. (2022). The determination of public debt under both aggregate and idiosyncratic uncertainty. Journal of Economic Theory, 203, 105474. https://doi.org/10.1016/j.jet.2022.105474
De Almeida, D., Hotta, L. K., & Ruiz, E. (2018). MGARCH models: Trade-off between feasibility and flexibility. International Journal of Forecasting, 34(1), 45-63. https://doi.org/10.1016/j.ijforecast.2017.08.003
Dhital, S., Gomis-Porqueras, P., & Haslag, J. H. (2021). Monetary and fiscal policy interactions in a frictional model of fiat money, nominal public debt and banking. European Economic Review, 139, 103861. https://doi.org/10.1016/j.euroecorev.2021.103861
Engle, R. F. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business & Economic Statistics, 20(3), 339-350. https://doi.org/10.1198/073500102288618487
Fotiou, A. (2022). Non-linearities in fiscal policy: The role of debt. European Economic Review, 150, 104212. https://doi.org/10.1016/j.euroecorev.2022.104212
Gómez-Puig, M., Sosvilla-Rivero, S., & Martínez-Zarzoso, I. (2022). On the heterogeneous link between public debt and economic growth. Journal of International Financial Markets, Institutions and Money, 77, 101528. https://doi.org/10.1016/j.intfin.2022.101528
Greiner, A., & Kauermann, G. (2007). Sustainability of US public debt: Estimating smoothing spline regressions. Economic Modelling, 24(2), 350-364. https://doi.org/10.1016/j.econmod.2006.08.004
Guo, S., Pei, Y., & Xie, Z. (2022). A dynamic model of fiscal decentralization and public debt accumulation. Journal of Public Economics, 212, 104692. https://doi.org/10.1016/j.jpubeco.2022.104692
Hause, J. C. (1971). Spectral Analysis and the Detection of Lead-Lag Relations. The American Economic Review, 61(1), 213–217. http://www.jstor.org/stable/1910561
Ling, S., & McAleer, M. (2003). Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory, 19(2), 280-310. https://doi.org/10.1017/S0266466603192092
Marcellino, M. (2006). Leading indicators. Handbook of Manuele, F. A. (2009). Leading & Lagging Indicators: Do they add value to the practice of safety? Professional Safety, 54(12), 28–33. https://www.jstor.org/stable/48687557
Martins, L. F. (2021). The US debt–growth nexus along the business cycle. The North American Journal of Economics and Finance, 58, 101462. https://doi.org/10.1016/j.najef.2021.101462
Mehrotra, N. R., & Sergeyev, D. (2021). Debt sustainability in a low interest rate world. Journal of Monetary Economics, 124, S1-S18. https://doi.org/10.1016/j.jmoneco.2021.09.001
Morlin, G. S. (2022). Growth led by government expenditure and exports: public and external debt stability in a supermultiplier model. Structural Change and Economic Dynamics, 62, 586-598. https://doi.org/10.1016/j.strueco.2022.03.00.
Neftci, S. N. (1979). Lead-lag relations, exogeneity and prediction of economic time series. Econometrica: Journal of the Econometric Society, 47(1), 101-113. https://doi.org/10.2307/1912349
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 59(2), 347-370. https://doi.org/10.2307/2938260
Pintér, G. (2022). The procyclicality of inflation-linked debt. Economics Letters, 218, 110706. https://doi.org/10.1016/j.econlet.2022.110706
Roth, C., Settele, S., & Wohlfart, J. (2022). Beliefs about public debt and the demand for government spending. Journal of Econometrics, 231(1), 165-187. https://doi.org/10.1016/j.jeconom.2020.09.011
Sardoni, C. (2021). The public debt and the Ricardian equivalence: Some critical remarks. Structural Change and Economic Dynamics, 58, 153-160. https://doi.org/10.1016/j.strueco.2021.05.006
Sarno, L. (2001). The behavior of US public debt: a nonlinear perspective. Economics Letters, 74(1), 119-125. https://doi.org/10.1016/S0165-1765(01)00529-8
Zhou, W. X., & Sornette, D. (2007). Lead-lag cross-sectional structure and detection of correlated–anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates. Physica A: Statistical Mechanics and its Applications, 380, 287-296. https://doi.org/10.1016/j.physa.2007.02.114
Albonico, A., Ascari, G., & Gobbi, A. (2021). The public debt multiplier. Journal of Economic Dynamics and Control, 132(C), 1-22. https://doi.org/10.1016/j.jedc.2021.104204
Ampofo, G. M., Jinhua, C., Bosah, P. C., Ayimadu, E. T., & Senadzo, P. (2021). Nexus between total natural resource rents and public debt in resource-rich countries: A panel data analysis. Resources Policy, 74, 102276. https://doi.org/10.1016/j.resourpol.2021.102276
Badia, M. M., Medas, P., Gupta, P., & Xiang, Y. (2022). Debt is not free. Journal of International Money and Finance, 127, 102654. https://doi.org/10.1016/j.jimonfin.2022.102654
Bartak, J., Jabłoński, Ł., & Tomkiewicz, J. (2022). Does income inequality explain public debt change in OECD countries? International Review of Economics & Finance, 80, 211-224. https://doi.org/10.1016/j.iref.2022.02.045
Bernardini, M., & Forni, L. (2020). Private and public debt interlinkages in bad times. Journal of International Money and Finance, 109, 102239. https://doi.org/10.1016/j.jimonfin.2020.102239
Bollerslev, T. (1990). Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model. The Review of Economics and Statistics, 72(3), 498-505. https://doi.org/10.2307/2109358
Boly, M., Combes, J. L., Menuet, M., Minea, A., Motel, P. C., & Villieu, P. (2022). Can public debt mitigate environmental debt? Theory and empirical evidence. Energy Economics, 111, 105895. https://doi.org/10.1016/j.eneco.2022.105895
Burkholder, A. A. (1980). New Approaches To The Use Of Lagging Indicators. Business Economics, 15(3), 20–24. http://www.jstor.org/stable/23482533
Bystrov, V., & Mackiewicz, M. (2020). Recurrent explosive public debts and the long-run fiscal sustainability. Journal of Policy Modeling, 42(2), 437-450. https://doi.org/10.1016/j.jpolmod.2019.10.002
Caner, M., Fan, Q., & Grennes, T. (2021). Partners in debt: An endogenous non-linear analysis of the effects of public and private debt on growth. International Review of Economics & Finance, 76, 694-711. https://doi.org/10.1016/j.iref.2021.07.010
Cappiello, L., Engle, R. F., & Sheppard, K. (2006). Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. Journal of Financial Econometrics, 4(4), 537–572. https://doi.org/10.1093/jjfinec/nbl005
Carrera, J., & de la Vega, P. (2021). The impact of income inequality on public debt. The Journal of Economic Asymmetries, 24, e00216. https://doi.org/10.1016/j.jeca.2021.e00216
Chien, Y., & Wen, Y. (2022). The determination of public debt under both aggregate and idiosyncratic uncertainty. Journal of Economic Theory, 203, 105474. https://doi.org/10.1016/j.jet.2022.105474
De Almeida, D., Hotta, L. K., & Ruiz, E. (2018). MGARCH models: Trade-off between feasibility and flexibility. International Journal of Forecasting, 34(1), 45-63. https://doi.org/10.1016/j.ijforecast.2017.08.003
Dhital, S., Gomis-Porqueras, P., & Haslag, J. H. (2021). Monetary and fiscal policy interactions in a frictional model of fiat money, nominal public debt and banking. European Economic Review, 139, 103861. https://doi.org/10.1016/j.euroecorev.2021.103861
Engle, R. F. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business & Economic Statistics, 20(3), 339-350. https://doi.org/10.1198/073500102288618487
Fotiou, A. (2022). Non-linearities in fiscal policy: The role of debt. European Economic Review, 150, 104212. https://doi.org/10.1016/j.euroecorev.2022.104212
Gómez-Puig, M., Sosvilla-Rivero, S., & Martínez-Zarzoso, I. (2022). On the heterogeneous link between public debt and economic growth. Journal of International Financial Markets, Institutions and Money, 77, 101528. https://doi.org/10.1016/j.intfin.2022.101528
Greiner, A., & Kauermann, G. (2007). Sustainability of US public debt: Estimating smoothing spline regressions. Economic Modelling, 24(2), 350-364. https://doi.org/10.1016/j.econmod.2006.08.004
Guo, S., Pei, Y., & Xie, Z. (2022). A dynamic model of fiscal decentralization and public debt accumulation. Journal of Public Economics, 212, 104692. https://doi.org/10.1016/j.jpubeco.2022.104692
Hause, J. C. (1971). Spectral Analysis and the Detection of Lead-Lag Relations. The American Economic Review, 61(1), 213–217. http://www.jstor.org/stable/1910561
Ling, S., & McAleer, M. (2003). Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory, 19(2), 280-310. https://doi.org/10.1017/S0266466603192092
Marcellino, M. (2006). Leading indicators. Handbook of Manuele, F. A. (2009). Leading & Lagging Indicators: Do they add value to the practice of safety? Professional Safety, 54(12), 28–33. https://www.jstor.org/stable/48687557
Martins, L. F. (2021). The US debt–growth nexus along the business cycle. The North American Journal of Economics and Finance, 58, 101462. https://doi.org/10.1016/j.najef.2021.101462
Mehrotra, N. R., & Sergeyev, D. (2021). Debt sustainability in a low interest rate world. Journal of Monetary Economics, 124, S1-S18. https://doi.org/10.1016/j.jmoneco.2021.09.001
Morlin, G. S. (2022). Growth led by government expenditure and exports: public and external debt stability in a supermultiplier model. Structural Change and Economic Dynamics, 62, 586-598. https://doi.org/10.1016/j.strueco.2022.03.00.
Neftci, S. N. (1979). Lead-lag relations, exogeneity and prediction of economic time series. Econometrica: Journal of the Econometric Society, 47(1), 101-113. https://doi.org/10.2307/1912349
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 59(2), 347-370. https://doi.org/10.2307/2938260
Pintér, G. (2022). The procyclicality of inflation-linked debt. Economics Letters, 218, 110706. https://doi.org/10.1016/j.econlet.2022.110706
Roth, C., Settele, S., & Wohlfart, J. (2022). Beliefs about public debt and the demand for government spending. Journal of Econometrics, 231(1), 165-187. https://doi.org/10.1016/j.jeconom.2020.09.011
Sardoni, C. (2021). The public debt and the Ricardian equivalence: Some critical remarks. Structural Change and Economic Dynamics, 58, 153-160. https://doi.org/10.1016/j.strueco.2021.05.006
Sarno, L. (2001). The behavior of US public debt: a nonlinear perspective. Economics Letters, 74(1), 119-125. https://doi.org/10.1016/S0165-1765(01)00529-8
Zhou, W. X., & Sornette, D. (2007). Lead-lag cross-sectional structure and detection of correlated–anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates. Physica A: Statistical Mechanics and its Applications, 380, 287-296. https://doi.org/10.1016/j.physa.2007.02.114
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