## 1. Domestic Expected Debt and Long-term Real Yields

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### Introduction
- Following the recent financial crisis and the associated rise in the already high levels of public debt, concerns for fiscal sustainability remain elevated in many advanced economies.
- Most advanced economies are implementing fiscal consolidation, but in most of them public debt-to-GDP ratios are projected to rise further in the next couple of years.
- So far sovereign yield reactions have been muted, but the deterioration in the fiscal stance of advanced economies is unlikely not to have implications on global borrowing costs going forward.

### Theoretical framework on fiscal expansions and long-term real rates
- Ricardian equivalence case:
  - If Ricardian equivalence holds, a rise in government debt implies a fully anticipated increase in the future tax burden.
  - Private saving rises offsetting the fiscal expansion, leaving long-term real rates unchanged.
- Non-Ricardian case (models with non-Ricardian features):
  - An increase in fiscal deficit and debt, all else equal, would drive real rates up in both closed and open economies.
  - Kumhof and Laxton (2007) (DSGE, two-large economies, finite-horizon consumers à la Blanchard (1985)):
    - A rise in the fiscal deficit financed by debt in one of the two economies leads to a substantial short-term increase in private consumption (agents with a finite horizon do not internalize all future increase in taxes needed to repay the higher debt).
    - A medium-term fall in the saving rate in that economy.
    - To re-establish an equilibrium in world saving and investment, real rates will have to rise and real investment to fall.
    - As long-run real rates are equalized internationally, there will also be spillover effects to the other economy where output and consumption will decline.
    - The transmission channel works mainly through interest rates; the trade channel appears to be weak.
  - Ferrero (2010) reaches similar qualitative results in a finite-horizon two-economy model.

### Spillovers from large advanced economies to small open and emerging economies
- Spillovers operate mainly through changes in the risk free rate.
- For small open economies:
  - An increase in the debt ratio of large advanced economies will also affect their sovereign spreads.
  - Small open economies (such as most emerging economies) have historically been more prone to sovereign risk.
  - An increase in large economies’ debt will tend to increase not only the global risk free rate but also sovereign spreads.
  - Yields in small open economies will increase more than the global risk free rate because investors require compensation for the probability of a sovereign credit event.

### Empirical methodology and data
- Sample and period:
  - Sample includes 53 economies: 28 AEs and 25 EMEs.
  - About 280 observations for EMEs and 430 for AEs.
  - Period covered: 2002-10.
  - Real time expectations drawn from vintages of IMF’s World Economic Outlook database (from 2002 onward).
- Key data construction choices:
  - AEs: use real long-term interest rate data (10-year LTBY) from IMF WEO.
  - EMEs: construct long-term real borrowing cost as sum of international real rate and country-specific spread; use six-month averages of JP Morgan Emerging Markets Bond Index Global (EMBIG) spreads (stripped spreads quoted in US dollars).
  - Global aggregates: PPP-GDP weighted averages used for G20-advanced debt, AEs’ long-term real rates, and other global controls.
- Estimation approach:
  - Baseline fixed-effects specification with controls for short-term real money market rates, expected growth, expected inflation, expected debt and its square, financial openness, liquid liabilities/GDP, current account/GDP, reserves/GDP, and VIX.
  - Instrumental variables (IV) used to address potential endogeneity of expected debt: instruments include two-period lagged real GDP growth, lagged debt and its square, and expected primary deficit.
  - Robustness checks: dropping single country or single year in rolling fashion; diagnostics for overidentification and weak instruments performed.

### Baseline findings: domestic debt and domestic long-term real yields
- Relationship form:
  - EMEs: U-shaped (non-linear) relation between expected domestic debt and long-term real yields.
  - AEs: evidence supports a linear relation when controls are included; non-linear when controls are excluded.
- Magnitudes and thresholds:
  - EMEs:
    - Long-term real interest rates rise by about 2.5 to 4 basis points for a one percentage point increase in the expected debt-to-GDP ratio (effect applies past a debt ratio threshold of about 50 percent of GDP).
    - Median EME debt ratio is 44 percent.
  - AEs:
    - Estimated effect ranges between 1 to 7 basis points (depending on specification).
    - At the 2010 median debt level of 60 percent, an effect of 1 to 1.5 basis points arises when controls are not included.
    - With controls, estimated impact ranges between 2.5 and 7 basis points.
- Control-variable behavior differences (AEs vs EMEs):
  - Real short-term money market rates: positive and significant for AEs; zero and insignificant for EMEs.
  - Expected one-year-ahead real GDP growth: reduces real rates for EMEs; not significant for AEs.
  - Expected inflation: raises real yields in EMEs; decreases yields in AEs.
  - Financial development and reserves: associated with lower real rates in EMEs.
  - VIX (global risk aversion): associated with higher yields in EMEs.
  - Current account surpluses: exert downward pressure on real rates for AEs; less clear for EMEs.

### Spillover effects of advanced economies’ debt on EMEs and other AEs
- Global debt measures considered:
  - (i) PPP-GDP weighted average of G20 advanced economies’ one-year-ahead expected debt-to-GDP ratio (excluding Japan).
  - (ii) One year ahead US debt-to-GDP ratio.
  - (iii) PPP-GDP weighted average of the four largest euro area economies’ (EA-4: France, Germany, Italy, Spain) public debt-to-GDP ratio.
- Key spillover results:
  - G20-advanced average debt:
    - U-shaped relationship with EMEs’ long-term real yields.
    - Exerts upward pressure on EMEs’ yields after threshold of 77½ percent of average public debt-to-GDP ratio.
    - Median (2010) value: 89 percent.
    - At the 2010 median value, a one percent of GDP increase in average AE debt raises EME long-term real rates by about 10 basis points.
  - U.S. expected debt:
    - Similar results to G20 aggregate.
    - 2010 U.S. expected debt ratio: 97 percent.
    - At that level, a one percent of GDP increase in US expected debt raises EME long-term real rates by about 10 basis points.
  - EA-4 expected debt:
    - Coefficients often not significant or only at the 10 percent level.
    - IV specification indicates an inverted-U shape with threshold about 71 percent; at the 2010 EA-4 debt ratio (76 percent), a 1 percentage point increase would slightly reduce EME real yields.
- Effects on other AEs (excluding U.S. and EA-4):
  - U.S. debt ratio starts exerting upward pressure at about 70-75 percent.
  - At 2010 U.S. expected debt ratio (97 percent), a one percent of GDP increase in U.S. debt raises long-term real yields of other AEs by about 8 basis points.
  - EA-4 results for other AEs are less clear; IV specification threshold of 84 percent (above 2010 level of 76 percent) implies a positive effect of about 6 basis points for a one percentage point rise at that higher threshold.
- General conclusion on spillovers:
  - One-year-ahead expected increases in advanced-economy public debt ratios exert significant upward pressure on long-term real yields of other countries, especially EMEs, past threshold levels.
  - Starting from current elevated AE debt levels, the magnitude of spillovers from AE debt is higher than the impact of a comparable change in domestic debt for many countries.

### Spillover effects of advanced economies’ long-term real rates (interest rate channel)
- Replacing global debt with global long-term real rates:
  - G20 advanced long-term real rate has a positive effect on EMEs’ and other AEs’ real rates.
- For EMEs:
  - Effect found in IV specification at the 10 percent significance level.
  - A one percentage point higher global real rate increases EMEs’ rates by about 30 basis points (implying a 30 percent pass-through).
  - Similar magnitude obtained for the US interest level (with stronger significance).
  - EA-4 yields produce inconclusive results; significant coefficient sometimes negative.
- For other AEs:
  - Effect about 40-50 basis points for both OLS and IV specifications for both the US and EA-4 yields.
- Interpretation:
  - Interest rate channel is an important mechanism explaining spillovers from AEs’ debt to other countries’ long-term real yields.
  - Pass-through is generally stronger for other AEs than for EMEs, consistent with higher financial integration among AEs.

### Quantitative summaries and key thresholds (preserved exactly as in source)
- EMEs: long-term real rates rise by about 2.5 to 4 basis points for a one percentage point increase in one-year-ahead expected debt-to-GDP ratio (past a threshold of about 50 percent).
- AEs: estimated linear effect ranges between 2.5 and 7 basis points.
- Global (G20) debt threshold for spillovers to EMEs: 77½ percent; 2010 median: 89 percent; effect at 2010 median: about 10 basis points per one percent of GDP increase in average AE debt.
- U.S. expected debt (2010 value): 97 percent; effect at that level: about 10 basis points per one percent of GDP increase.
- EA-4 (2010 value): 76 percent; IV threshold about 71 percent (EME regressions) or 84 percent (other AE regressions) with mixed sign and significance.
- Pass-through estimates:
  - EMEs: about 30 basis points increase in EME rates for a one percentage point higher global real rate (IV, 10 percent significance).
  - Other AEs: about 40-50 basis points pass-through from global (US/EA-4) long-term real rates.

### Overall conclusions
- Domestic debt increases are associated with higher domestic long-term real yields:
  - EMEs: 2.5 to 4 basis points per one percentage point increase in expected debt-to-GDP (above ~50 percent threshold).
  - AEs: 2.5 to 7 basis points per one percentage point increase in expected debt-to-GDP (linear effect with controls).
- EMEs are exposed to funding-cost increases due to high and rising AEs’ debt:
  - Past thresholds of about 70-80 percent of GDP in AE debt ratios, a one percentage point increase in expected AE debt (in particular U.S. debt) raises EMEs’ yields by about 10 basis points at 2010 debt ratio levels.
- The interest rate channel is an important mechanism:
  - AEs’ long-term real rates (notably U.S. real rates) have spillover effects on other countries’ real yields, including EMEs.

*Source: IMF Working Paper — Section "1. Domestic Expected Debt and Long-term Real Yields".*

### 1. Domestic Expected Debt and Long-term Real Yields .........................................................19

### 1. Domestic Expected Debt and Long-term Real Yields

### Introduction
- Following the recent financial crisis and the associated rise in the already high levels of public debt, concerns for fiscal sustainability remain elevated in many advanced economies.
- Most advanced economies are implementing fiscal consolidation, but in most of them public debt-to-GDP ratios are projected to rise further in the next couple of years.
- So far sovereign yield reactions have been muted, but the deterioration in the fiscal stance of advanced economies is unlikely not to have implications on global borrowing costs going forward.

### Theoretical framework on fiscal expansions and long-term real rates
- Ricardian equivalence case:
  - If Ricardian equivalence holds, a rise in government debt implies a fully anticipated increase in the future tax burden.
  - Private saving rises offsetting the fiscal expansion, leaving long-term real rates unchanged.
- Non-Ricardian case (models with non-Ricardian features):
  - An increase in fiscal deficit and debt, all else equal, would drive real rates up in both closed and open economies.
  - Example: Kumhof and Laxton (2007) consider a DSGE model with two-large economies in which consumers have finite horizon à la Blanchard (1985). They show:
    - A rise in the fiscal deficit financed by debt in one of the two economies leads to a substantial short-term increase in private consumption (agents with a finite horizon do not internalize all future increase in taxes needed to repay the higher debt).
    - A medium-term fall in the saving rate in that economy.
    - To re-establish an equilibrium in world saving and investment, real rates will have to rise and real investment to fall.
    - As long-run real rates are equalized internationally, there will also be spillover effects to the other economy where output and consumption will decline.
    - The transmission channel works mainly through interest rates; the trade channel appears to be weak.
  - Ferrero (2010) considers a finite horizon model with two economies and reaches similar qualitative results.

### Spillovers from large advanced economies to small open and emerging economies
- The spillover effect from large advanced economies operates mainly through changes in the risk free rate.
- For small open economies:
  - An increase in the debt ratio of large advanced economies will also affect their sovereign spreads.
  - Small open economies (such as most emerging economies) have historically been more prone to sovereign risk.
  - An increase in large economies’ debt will tend to increase not only the global risk free rate but also sovereign spreads.
  - Yields in small open economies will increase more than the global risk free rate because investors require compensation for the probability of a sovereign credit event.

### Key concepts highlighted
- Ricardian equivalence versus non-Ricardian features.
- Role of private saving responses and finite-horizon consumers in determining real rates.
- International equalization of long-run real rates and interest-rate-led spillovers.
- Distinct impact channels for large advanced economies (risk-free rate channel) and small open/emerging economies (risk-free rate plus sovereign spread channel).

*Source: IMF Working Paper — Section "1. Domestic Expected Debt and Long-term Real Yields".*

### conclusions. For a comparison of different models see, among others, Engen and Hubbard (2004).

### _wp11210 - conclusions. For a comparison of different models see, among others, Engen and Hubbard (2004).

### Empirical methodology and data
- Sample and period:
  - Sample includes 53 economies: 28 AEs and 25 EMEs.
  - About 280 observations for EMEs and 430 for AEs.
  - Period covered: 2002-10.
  - Real time expectations drawn from vintages of IMF’s World Economic Outlook database (from 2002 onward).
- Key data construction choices:
  - AEs: use real long-term interest rate data (10-year LTBY) from IMF WEO.
  - EMEs: construct long-term real borrowing cost as sum of international real rate and country-specific spread; use six-month averages of JP Morgan Emerging Markets Bond Index Global (EMBIG) spreads (stripped spreads quoted in US dollars).
  - Global aggregates: PPP-GDP weighted averages used for G20-advanced debt, AEs’ long-term real rates, and other global controls.
- Estimation approach:
  - Baseline fixed-effects specification with controls for short-term real money market rates, expected growth, expected inflation, expected debt and its square, financial openness, liquid liabilities/GDP, current account/GDP, reserves/GDP, and VIX.
  - Instrumental variables (IV) used to address potential endogeneity of expected debt: instruments include two-period lagged real GDP growth, lagged debt and its square, and expected primary deficit.
  - Robustness checks: dropping single country or single year in rolling fashion; diagnostics for overidentification and weak instruments performed.

### Baseline findings: domestic debt and domestic long-term real yields
- Relationship form:
  - EMEs: U-shaped (non-linear) relation between expected domestic debt and long-term real yields.
  - AEs: evidence supports a linear relation when controls are included; non-linear when controls are excluded.
- Magnitudes and thresholds:
  - EMEs: long-term real interest rates rise by about 2.5 to 4 basis points for a one percentage point increase in the expected debt-to-GDP ratio (effect applies past a debt ratio threshold of about 50 percent of GDP). Median EME debt ratio is 44 percent.
  - AEs: estimated effect ranges between 1 to 7 basis points (depending on specification); at the 2010 median debt level of 60 percent, an effect of 1 to 1.5 basis points arises when controls are not included; with controls, estimated impact ranges between 2.5 and 7 basis points.
- Control-variable behavior differences (AEs vs EMEs):
  - Real short-term money market rates: positive and significant for AEs; zero and insignificant for EMEs.
  - Expected one-year-ahead real GDP growth: reduces real rates for EMEs; not significant for AEs.
  - Expected inflation: raises real yields in EMEs; decreases yields in AEs.
  - Financial development and reserves: associated with lower real rates in EMEs.
  - VIX (global risk aversion): associated with higher yields in EMEs.
  - Current account surpluses: exert downward pressure on real rates for AEs; less clear for EMEs.

### Spillover effects of advanced economies’ debt on EMEs and other AEs
- Global debt measures considered:
  - (i) PPP-GDP weighted average of G20 advanced economies’ one-year-ahead expected debt-to-GDP ratio (excluding Japan).
  - (ii) One year ahead US debt-to-GDP ratio.
  - (iii) PPP-GDP weighted average of the four largest euro area economies’ (EA-4: France, Germany, Italy, Spain) public debt-to-GDP ratio.
- Key spillover results:
  - G20-advanced average debt:
    - U-shaped relationship with EMEs’ long-term real yields.
    - Exerts upward pressure on EMEs’ yields after threshold of 77½ percent of average public debt-to-GDP ratio.
    - Median (2010) value: 89 percent.
    - At the 2010 median value, a one percent of GDP increase in average AE debt raises EME long-term real rates by about 10 basis points.
  - U.S. expected debt:
    - Similar results to G20 aggregate.
    - 2010 U.S. expected debt ratio: 97 percent.
    - At that level, a one percent of GDP increase in US expected debt raises EME long-term real rates by about 10 basis points.
  - EA-4 expected debt:
    - Coefficients often not significant or only at the 10 percent level.
    - IV specification indicates an inverted-U shape with threshold about 71 percent; at the 2010 EA-4 debt ratio (76 percent), a 1 percentage point increase would slightly reduce EME real yields.
- Effects on other AEs (excluding U.S. and EA-4):
  - U.S. debt ratio starts exerting upward pressure at about 70-75 percent.
  - At 2010 U.S. expected debt ratio (97 percent), a one percent of GDP increase in U.S. debt raises long-term real yields of other AEs by about 8 basis points.
  - EA-4 results for other AEs are less clear; IV specification threshold of 84 percent (above 2010 level of 76 percent) implies a positive effect of about 6 basis points for a one percentage point rise at that higher threshold.
- General conclusion on spillovers:
  - One-year-ahead expected increases in advanced-economy public debt ratios exert significant upward pressure on long-term real yields of other countries, especially EMEs, past threshold levels.
  - Starting from current elevated AE debt levels, the magnitude of spillovers from AE debt is higher than the impact of a comparable change in domestic debt for many countries.

### Spillover effects of advanced economies’ long-term real rates (interest rate channel)
- Replacing global debt with global long-term real rates:
  - G20 advanced long-term real rate has a positive effect on EMEs’ and other AEs’ real rates.
  - For EMEs:
    - Effect found in IV specification at the 10 percent significance level.
    - A one percentage point higher global real rate increases EMEs’ rates by about 30 basis points (implying a 30 percent pass-through).
    - Similar magnitude obtained for the US interest level (with stronger significance).
    - EA-4 yields produce inconclusive results; significant coefficient sometimes negative.
  - For other AEs:
    - Effect about 40-50 basis points for both OLS and IV specifications for both the US and EA-4 yields.
- Interpretation:
  - Interest rate channel is an important mechanism explaining spillovers from AEs’ debt to other countries’ long-term real yields.
  - Pass-through is generally stronger for other AEs than for EMEs, consistent with higher financial integration among AEs.

### Quantitative summaries and key thresholds (preserved exactly as in source)
- EMEs: long-term real rates rise by about 2.5 to 4 basis points for a one percentage point increase in one-year-ahead expected debt-to-GDP ratio (past a threshold of about 50 percent).
- AEs: estimated linear effect ranges between 2.5 and 7 basis points.
- Global (G20) debt threshold for spillovers to EMEs: 77½ percent; 2010 median: 89 percent; effect at 2010 median: about 10 basis points per one percent of GDP increase in average AE debt.
- U.S. expected debt (2010 value): 97 percent; effect at that level: about 10 basis points per one percent of GDP increase.
- EA-4 (2010 value): 76 percent; IV threshold about 71 percent (EME regressions) or 84 percent (other AE regressions) with mixed sign and significance.
- Pass-through estimates:
  - EMEs: about 30 basis points increase in EME rates for a one percentage point higher global real rate (IV, 10 percent significance).
  - Other AEs: about 40-50 basis points pass-through from global (US/EA-4) long-term real rates.

### Overall conclusions
- Domestic debt increases are associated with higher domestic long-term real yields:
  - EMEs: 2.5 to 4 basis points per one percentage point increase in expected debt-to-GDP (above ~50 percent threshold).
  - AEs: 2.5 to 7 basis points per one percentage point increase in expected debt-to-GDP (linear effect with controls).
- EMEs are exposed to funding-cost increases due to high and rising AEs’ debt:
  - Past thresholds of about 70-80 percent of GDP in AE debt ratios, a one percentage point increase in expected AE debt (in particular U.S. debt) raises EMEs’ yields by about 10 basis points at 2010 debt ratio levels.
- The interest rate channel is an important mechanism:
  - AEs’ long-term real rates (notably U.S. real rates) have spillover effects on other countries’ real yields, including EMEs.

*Source: _wp11210 - conclusions. For a comparison of different models see, among others, Engen and Hubbard (2004).*

### References

### _wp11210 - References

### References (selected citations)
- Arora V. and M. Cerisola (2001): “How does Monetary Policy Influence Sovereign Spreads in Emerging Markets?”, IMF Staff Papers, Vol. 48, No. 3.
- Ardagna, S., F. Caselli, and T., Lane (2007): “Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries,” The B.E. Journal of Macroeconomics, vol.7, 1.
- Barro, R. J. (1989): “The Neoclassical Approach to Fiscal Policy.” In Robert J. Barro (ed.), Modern Business Cycle Theory, Cambridge, MA: Harvard University Press, pp. 178-235.
- Baldacci, E., S. Gupta and A. Mati (2008): “Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets”, IMF Working Paper, No. 08/259.
- Baldacci, E. and M. S. Kumar (2010): “Fiscal Deficits, Debt, and Sovereign Bond Yields”, IMF Working Paper, No. 10/184.
- Blanchard, O. J. (1985): “Debt, Deficits, and Finite Horizons”, The Journal of Political Economy, Vol. 93, No. 2.
- Edwards, S. (1984): "LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80," American Economic Review, Vol. 74, No. 4, pp. 726-34.
- Engen, E. M., and R. G. Hubbard (2004): “Federal Government Debt and Interest Rates,” NBER Working Paper No. 1068.
- Fernandez-Villaverde, J., P. Guerron-Quintana, J. F. Rubio-Ramirez, and M. Uribe (2009): “Risk matters: The Real Effects of Volatility Shocks,” NBER Working Paper, No. 14875.
- Ferrero, A. (2010): “A Structural Decomposition of the U.S. Trade Balance: Productivity, Demographics and Fiscal Policy”, Journal of Monetary Economics, Vol. 57 (4), pp. 478-490.
- Ghosh R. G., J. D. Ostry, and C. G. Tsangarides (2010): “Exchange Rate Regimes and the Stability of the International Monetary System,” IMF Occasional Paper, No. 270.
- Kumhof, M. and D. Laxton (2007): “A Party Without a Hangover? On the Effects of U.S. Fiscal Deficits”, IMF Working Paper No. 07/202.
- Laubach, T. (2009): “New Evidence on the Interest Rate Effects of Budget Deficits and Debt,” Journal of European Economic Association, Vol. 7, pp. 858–85.
- Min, H. G. (1998): “Determinants of Emerging Market Bond Spreads: Evidence from Latin America,” World Bank Policy Research Paper, No. 1899.
- Neumeyer, P. and F. Perri (2005): “Business Cycles in Emerging Economies: the Role of Interest Rates,” Journal of Monetary Economics vol. 52, pp. 345-380.
- Reinhart, C.M., K.S. Rogoff and M.A. Savastano (2003): “Debt Intolerance”, NBER Working Paper No. 9908.
- Seater, J. J. (1993): "Ricardian Equivalence," Journal of Economic Literature, vol. 31 (March), pp. 142-190.
- Sommer, M. and G. B. Li (2011) “U.S. Fiscal Spillovers: Global Financing Conditions,” Mimeo.

### Appendix — Countries Included in the Sample
- Emerging Market Economies (listed):
  - Brazil, Bulgaria, Chile, Colombia, Croatia, Estonia, Hungary, India, Indonesia, Latvia, Lithuania, Malaysia, Mauritius, Mexico, Morocco, Pakistan, Panama, Philippines, Poland, Romania, South Africa, Thailand, Tunisia, Turkey, Uruguay, Switzerland, United Kingdom, United States
- Advanced Economies (listed):
  - Australia, Austria, Belgium, Canada, Hong Kong, Czech Republic, Denmark, Finland, France, Germany, Greece, Iceland, Ireland, Israel, Italy, Japan, Korea, Netherlands, New Zealand, Norway, Portugal, Singapore, Slovak Republic, Spain, Sweden

### Tables — Key reported metrics and summary statistics
- Table 1. Domestic Expected Debt and Long-term Real Yields
  - Estimation notes: LS = Least Squares; IV = Instrumental Variable Estimates. LS and IV use fixed effects; IV instruments include second lag of real GDP growth rate, current domestic debt to GDP, current domestic debt to GDP square, expected primary deficit.
  - Number of observations: 283, 272, 280, 270, 427, 348, 256, 230
  - Number of countries: 25, 23, 24, 22, 25, 22, 22, 20
  - R-squared values reported: 0.34, 0.345, 0.34, 0.34, 0.38, 0.38, 0.47, 0.475
  - Domestic debt threshold reported: 0.48, 0.49, 0.47, 0.48, 0.74, 0.70, ----
  - Increase in LTBY for 1% increase in domestic Exp. Debt/GDP (in bps): 2.61, 2.53, 3.80, 3.93, 1.03, 1.43, 2.49, 7.03
  - Median in 2010 (domestic): 0.44, 0.44, 0.44, 0.44, 0.61, 0.61, 0.61, 0.61

- Table 2a. Impact of Global Expected Debt on Long-term Real Yields — Emerging Market Economies
  - Number of observations: 280, 270, 280, 270, 280, 270
  - Number of countries: 24, 22, 24, 22, 22, 22
  - R-squared values: 0.56, 0.56, 0.56, 0.56, 0.53, 0.54
  - Domestic debt threshold: 0.49, 0.50, 0.50, 0.50, 0.53, 0.53
  - Increase in LTBY for 1% increase in domestic Exp. Debt/GDP (in bps): 3.03, 3.18, 2.85, 3.00, 2.28, 2.49
  - Global exp. debt threshold: 0.77, 0.78, 0.82, 0.81, --, 0.71
  - Increase in LTBY for 1% increase in global Exp. Debt/GDP (in bps): 10.57, 9.89, 9.78, 9.92, ---, 3.82
  - Domestic median in 2010: 0.44 (for all columns)
  - Global debt 2010: 0.89, 0.89, 0.97, 0.97, 0.76, 0.76

- Table 2b. Impact of U.S. and EA-4 Expected Debt on Real Long-term Yields — Advanced Economies
  - Number of observations: 427, 348 (columns reported twice)
  - Number of countries: 25, 22 (columns reported twice)
  - R-squared values: 0.48, 0.47, 0.49, 0.48
  - Domestic debt threshold: 0.58, 0.61, 0.61, 0.63
  - Increase in LTBY for 1% increase in domestic Exp. Debt/GDP (in bps): -0.1, 0.1, 0.1, 0.3
  - Global debt threshold values reported: 0.70, 0.75, --, 0.84
  - Increase in LTBY for 1% increase in global Exp. Debt/GDP (in bps): 7.8, 8.9, --, 6.2
  - Domestic median in 2010: 0.61 (for all columns)
  - Global debt in 2010: 0.97, 0.97, 0.76, 0.76

- Table 3a. Impact of Global Long-term Real Yields on Long-term Real Yields — Emerging Economies
  - Number of observations: 280, 270, 280, 270, 280, 270
  - Number of countries: 24, 22, 24, 22, 22, 22
  - R-squared values: 0.54, 0.55, 0.55, 0.55, 0.52, 0.53
  - Domestic debt threshold: 0.50, 0.50, 0.50, 0.50, 0.51, 0.51
  - Increase in LTBY for 1% increase in domestic Exp. Debt/GDP (in bps): 3.12, 3.45, 3.19, 3.55, 2.77, 3.08
  - Global variable sets include G20-Advanced and USEA-4 specifications noted in the table

- Table 3b. Impact of U.S. and EA-4 Global Long-term Real Yields on Long-term Real Yields — Advanced Economies
  - Number of observations: 427, 348, 427, 348
  - Number of countries: 25, 22, 25, 22
  - R-squared values: 0.51, 0.50, 0.50, 0.48
  - Domestic debt threshold: 0.64, 0.63, 0.65, 0.64
  - Increase in LTBY for 1% increase in domestic Exp. Debt/GDP (in bps): 0.2, 0.4, 0.24, 0.51
  - Global variable sets labeled USEA-4 and Advanced in table headings

*Italic: Source document content: _wp11210 - References*

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