INTEREST BENEFITS FROM THE DEBT CRISIS TO THE GERMAN BUDGET UPDATED CALCULATIONS
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1 INTEREST BENEFITS FROM THE DEBT CRISIS TO THE GERMAN BUDGET UPDATED CALCULATIONS IWH Online 8/2015
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3 In der Reihe IWH Online erscheinen aktuelle Manuskripte der IWH-Wissenschaftlerinnen und -Wissenschaftler zeitnah online. Die Bände umfassen Gutachten, Studien, Analysen und Berichterstattungen. Kontakt: Professor Reint E. Gropp, Ph.D. Telefon: Fax: reint.gropp@iwh-halle.de Bearbeiter: Professor Reint E. Gropp, Ph.D. (IWH, Otto-von-Guericke-Universität Magdeburg) Professor Dr. Oliver Holtemöller (IWH, Martin-Luther-Universität Halle-Wittenberg) Herausgeber: Geschäftsführender Vorstand: LEIBNIZ-INSTITUT FÜR WIRTSCHAFTSFORSCHUNG HALLE IWH Prof. Reint E. Gropp, Ph.D. Prof. Dr. Oliver Holtemöller Dr. Tankred Schuhmann Hausanschrift: Kleine Märkerstraße 8, D Halle (Saale) Postanschrift: Postfach , D Halle (Saale) Telefon: Telefax: Internetadresse: Alle Rechte vorbehalten Zitierhinweis: Leibniz-Institut für Wirtschaftsforschung Halle (IWH) (Hrsg.): Interest Benefits from the Debt Crisis to the German Budget: Updated Calculations. IWH Online 8/2015. Halle (Saale) ISSN
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5 INTEREST BENEFITS FROM THE DEBT CRISIS TO THE GERMAN BUDGET: UPDATED CALCULATIONS HALLE (SAALE),
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7 Interest Benefits from the Debt Crisis to the German Budget: Updated Calculations INTEREST BENEFITS FROM THE DEBT CRISIS TO THE GERMAN BUDGET: UPDATED CALCULATIONS Reint E. Gropp, Oliver Holtemöller In a recent IWH online note, the IWH suggested that due to flight to safety effects, Germany was able to issue government debt at lower rates than otherwise would have been possible. The total savings was calculated to be around Euro 100 billion or about 3 percent of German GDP. Flight to safety effects arise from investors shifting their portfolio in the direction of safe assets in times of crisis. In the previous note 1, we document these effects in detail using individual events for the Greek debt crisis during 2014/2015 and simulate the savings based on a simple counterfactual simulation for German government bond yields. This note provides further evidence on the interest savings to the German budget that extend the calculations in two dimensions: 1. The flight to safety effects are more cleanly delineated from effects that arise from the low interest environment more generally. 2. The counterfactual interest simulations permit a daily bond-by-bond calculation of the interest savings. Using this refined methodology, we obtain interest savings to the German budget of just under Euro 90 billion. The new counterfactual interest simulation for German bunds starts with the pre-debt crisis interest rate level. It then defines a path based on the following decision rule: If Greek, Spanish and Portuguese yields move opposite to German yields, the simulated yields move with the change in German rates. If Greek, Spanish and Portuguese spreads move in the same direction as German yields, the simulated yields are unchanged. The idea is that if the yields of crisis countries and the yields of German bunds move in the same direction, this cannot be attributed to a flight to safety effect, but rather to the common monetary policy or other factors. If yields of crisis countries and German yields move in opposite directions, this cannot be attributed to the common monetary policy, but rather reflects flight to safety effects. Indeed, in most cases, dates with opposite movements in yields of crisis countries and German yields can be linked back to underlying crisis events. This exercise was performed for bonds of 1-year, 2-year, 5-year and 10- year maturity separately, yielding four different counterfactual interest rate paths that exclusively reflect flight to safety effects and not the low interest rate environment more generally. The resulting simulated path for German government bond yields for the different maturities is given in Figure 1. In order to calculate the interest savings, we then proceed to use the actual bond issues from the Bundesfinanzagentur (the agency that issues central government debt in Germany). 2 The Bundes- 1 2 Leibniz-Institut für Wirtschaftsforschung Halle (IWH) (Hrsg.): Germany s Benefit from the Greek Crisis. IWH Online 7/2015. Halle (Saale) See 1
8 Interest Benefits from the Debt Crisis to the German Budget: Updated Calculations finanzagentur publishes detailed information on the date of issuance, the effective yield of the bond, the time to maturity and other pertinent information. For each bond, we calculated the difference between the actual yield upon issuance and the simulated yield from the calculation described above. These savings were then summed over the duration of the bond. An example for such a calculation for the year 2012 is given in the Table. Summing up these savings for each individual bond yields a total interest savings through July 2015 of just under Euro 90 billion. 2
9 Interest Benefits from the Debt Crisis to the German Budget: Updated Calculations Figures Figure 1: Yield to Maturity of 1-Year German Government Bonds per percent simulated yield 0 flight-to-safety component -1 actual yield Source: Thomson Reuters Datastream; own calculations. Figure 2: Yield to Maturity of 2-Year German Government Bonds per percent simulated yield w/o flight-to-safety flight-to-safety component 0 actual yield Source: Thomson Reuters Datastream; own calculations. 3
10 Interest Benefits from the Debt Crisis to the German Budget: Updated Calculations Figure 3: Yield to Maturity of 5-Year German Government Bonds per percent simulated yield w/o flight-to-safety 2 1 flight-to-safety component 0 actual yield Source: Thomson Reuters Datastream; own calculations. Figure 4: Yield to Maturity of 5-Year German Government Bonds per percent simulated yield w/o flight-to-safety 3 flight-to-safety component 2 1 actual yield Source: Thomson Reuters Datastream; own calculations. 4
11 Interest Benefits from the Debt Crisis to the German Budget: Updated Calculations Table date maturity volume in Million Euro flight-to-safety-effects in percentage points savings in Million Euro ,00-1, , , ,00-1, , ,30-1, , ,60-1, , ,00-1, , ,00-1, , ,85-1, , ,80-1, , , ,00-1, , ,00-1, , ,00-1, , ,20-2, , ,00-1, , , ,00-1, , ,00-1, , ,00-2, , ,00-1, , , ,00-1, , ,65-1, , ,00-2, , ,00-1, , ,00-1, , ,40-2, , ,00-1, , , ,00-1, , ,85-2, , ,00-1, , ,00-1, , ,00-2, , ,50-1, , , ,00-1, , ,00-1, , ,00-2, , ,00-1, , ,00-1, , ,70-1, , , ,00-1, , ,85-2, , ,00-1, , ,00-1, , ,00-2, , ,00-2, , ,40-1, , ,80-1, , , ,00-1, , ,50-1, , ,00-1, , ,00-1, , , ,00-1, , ,00-1, , ,00-1, , ,40-1, , ,50-1, , ,00-1, , , ,00-1, , ,40-1, , ,00-1, ,00 5
12 Interest Benefits from the Debt Crisis to the German Budget: Updated Calculations date maturity volume in Million Euro flight-to-safety-effects in percentage points savings in Million Euro ,00-1, , ,00-1, , ,00-1, , ,10-1, , ,40-1, , , ,00-1, , ,60-1, , ,00-1, , ,20-1, , ,00-1, , ,80-1, , , ,00-1, , ,50-1, ,40 Sources: German Federal Statistical Office and Federal Financing Agency (Finanzagentur der Bundes GmbH); own calculations. 6
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14 Leibniz-Institut für Wirtschaftsforschung Halle IWH HAUSANSCHRFT: Kleine Märkerstraße 8, D Halle (Saale) POSTANSCHRIFT: Postfach , D Halle (Saale) TELEFON: TELEFAX INTERNET: I S S N :
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