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Christophe Schalck
''Investigating shifts in public debt management behaviour in France''
( 2019, Vol. 39 No.2 )
The aim of this paper is to identify some shifts in the behaviour of public debt managers in France. The behaviour is described using a reaction function and the documented impact of cost and risk considerations on the share of short-term debt. Using a Markov switching approach, distinguishing normal versus crisis episodes over the period of 1998-2015, endogenous shifts in public debt behaviour are identified. The results show non-monotonicity in French public debt management behaviour. In the crisis regime, findings show larger responses to changes in interest rates and in the liquidity of the long-term bond market.
Keywords: Public debt, debt instruments, Markov switching model, crisis
JEL: E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General
H6 - National Budget, Deficit, and Debt: General
Manuscript Received : Nov 04 2018 Manuscript Accepted : Jun 23 2019

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