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The Response of the Weighted Average Time to Maturity of Government Bond Issues to Changes in the Financial/Economic Environment
 

 

 

 

 
Abstract:

 

This paper describes and analyzes the response of the weighted average time to maturity of government bond issues to changes in financial and economic variables, in light of the financial and European debt crises, using a new database of 12,000 OECD government bonds issues in 2004–12. It shows that debt issuance patterns changed during the crises, shifting from issuing shorter debt for immediate cost minimization before the global financial crisis towards longer debt during the financial and European crises. Using panel-data regressions, I find evidence of short-term time to maturity response to yield curve parameters, issuance quantity response to crises and issuance quantity persistence.