What Drives Sovereign Debt Maturity in European Countries?

Abstract

The aim of this paper is to study the determinants of sovereign debt maturity for 23 European countries during the period between 1995 and 2013. For this purpose, we use quantile regressions with robust standard errors clustered by countries to consider the impact of the determinants in the entire distribution. The results indicate a positive relation between the level of debt of the country and sovereign debt maturity, particularly for countries with the lowest debt maturity. We also find evidence of a negative relationship between sovereign risk and debt maturity for the lowest and intermediate values of the debt maturity.

Key words: Sovereign debt maturity, Quantile regressions, Debt, Sovereign risk.
JEL: G12, G15, H63.

Cilj ovog rada je proučavanje determinanti zrelosti državnog duga za 23 Evropske zemlje u periodu od 1995. do 2013. godine. Za ovu svrhu koristimo kvantilne regresije sa robusnim standardnim greškama koje su grupisane od strane zemalja kako bi se uzelo u obzir uticaj determinanti na celu raspodelu. Rezultati ukazuju na pozitivnu vezu između nivoa duga zemlje i zrelosti duga, naročito kod zemalja čija je zrelost duga niža. Takođe, nalazimo dokaze o negativnom odnosu između suverenog rizika i zrelosti duga za najnižu i srednju vrednost zrelosti duga.

Ključne reči: zrelost državnog duga, kvantilna regresija, dug, suvereni rizik.