Abstract
This paper presents an analysis of both the past and future of the Hungarian retail debt program from a cost-risk standpoint. A quarter of the Hungarian central government debt is held through retail securities. From purely a nominal coupon point of view and analyzed in isolation, retail debt seems to be a comparatively more expensive form of funding. The paper has two goals. First, to estimate the historical cost of the retail debt program compared to alternative domestic sources of funding, taking portfolio effects and risks into account. Second, to simulate the future effects of retail debt based on security-level transaction data and a Vector Error Correction macroeconomic model in order to utilize quantitative tools for the perspective rethink of the retail debt strategy once the current strategic objectives are achieved in the near future.
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Notes
- 1.
Due to the success of MÁP+ in mid-2019, ÁKK modified its financing plan. The bids of primary dealers may have been higher without this modification, which is not reflected in the model. Furthermore, the November 2019 spike in IE is due to a large extra (simulated) issuance of 2016 maturing. In reality, a different maturity profile could have been constructed with a slightly longer maturity bond.
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© 2023 Államadósság Kezelo Központ Zrt. (“ÁKK”)
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Biró, B., Tran, D., Stark, A., Bebes, A. (2023). The Impact of the Hungarian Retail Debt Program. In: Valenzuela, O., Rojas, F., Herrera, L.J., Pomares, H., Rojas, I. (eds) Theory and Applications of Time Series Analysis and Forecasting. ITISE 2021. Contributions to Statistics. Springer, Cham. https://doi.org/10.1007/978-3-031-14197-3_12
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DOI: https://doi.org/10.1007/978-3-031-14197-3_12
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