Explaining interest rate spreads from a debt sustainability indicator.

Master thesis (2015)

Authors

Contributors

C.W. Oosterlee (mentor)
Programme
Financial Engineering (EEMCS) (TU Delft)
Copyright: © 2015 Boelee, M.
More Info
expand_more

Published Date

24-08-2015

Reuse Rights

Other than for strictly personal use, it is not permitted to download, forward or distribute the text or part of it, without the consent of the author(s) and/or copyright holder(s), unless the work is under an open content license such as Creative Commons.

Programme

Financial Engineering

Abstract

The aim of this MSc project is to investigate whether the dynamics of the interest rate spreads can be explained by a debt sustainability indicator. In this thesis, we evaluate the debt sustainability indicator with a new model. The essence of this model is to produce forecasts for several economic variables, where the government debt is one of them, based on historical data. With the obtained economic forecasts, we can estimate with the indicator the risk of a significant government debt increase in the near future.