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This paper analyses some fiscal aspects of mortgage debt in the EU. It first describes the main fiscal instruments that governments use to affect mortgage-financed home-ownership. In the empirical part, real mortgage debt growth is analysed for 15 EU countries using pooled regressions. Fiscal effects are included via after-tax interest rates. Other factors shown to be relevant for mortgage debt growth are house prices, financial deregulation, and stock markets while the effects of household income and inflation are less evident. Finally, the role of structural fiscal measures in reducing housing market volatility is highlighted.

This study analyses the choice of government debt managers in the euro area between issuing short-term or long-term debt over the period 1992-2017. Debt managers increased short-term debt issuance in response to higher interest rate spreads and to rising government debt, notably in vulnerable, high-debt countries. Thus, lower longterm rates as a result of ECB's Quantitative Easing (QE) triggered debt managers to focus debt issuance on the long-term end. Moreover, the usual increase in debt maturity when debt rises ceases to operate when QE is active, possibly because markets perceived it as a backstop to the government bond market. However, limited QE experience calls for caution in interpreting the results.

We derive a model in which a standard international capital asset pricing (ICAPM) model is nested within an ICAPM model with market imperfections. In the latter model an idiosyncratic stochastic factor affects the return of risky assets (over a risk-free rate) on top of the systematic component that is common to all countries (and that is interacted with a timevarying idiosyncratic "beta"). We introduce asymptotic convergence from the full ICAPM model with imperfections to the standard model by multiplying the idiosyncratic factor by convergence operators. The model is then estimated using the weekly 10 year government bond spreads of Belgium, France, Italy, and the Netherlands versus Germany over the period 1991-2006. We find that the idiosyncratic components have converged towards zero for all countries after the introduction of the euro implying that the efficiency of the euro area government bond markets under consideration has increased. Full convergence has not yet occurred however.

This paper studies the determinants of interest rate spreads of euro area 10 year government bonds against the benchmark, the German bund, after the introduction of the euro. In particular, it pays attention to the question whether market discipline is advanced or obstructed by financial integration and by fiscal rules like the Stability and Growth Pact. We first argue that financial integration – by improving market efficiency – is instrumental for markets to exert their disciplinary role. Next, we discuss the relationships between market discipline and fiscal rules, arguing that these in principle may reinforce each other. Finally, we provide strong empirical evidence that spreads depend on the ratings of the underlying bond and to a large extent are driven by the level of short-term interest rates.

Fiscal balances have deteriorated quickly in recent years, bringing back to the foreground the question what factors help explain such sharp changes. This paper takes a broad perspective at the issue regarding countries included, the range of explanatory variables tried, and the time-span. The empirical analysis shows that changes in budget balances are affected by debt growth, macroeconomic developments and political factors. In particular, we find that the run-up to EMU induced additional consolidation in Europe and that budget balances deteriorate markedly in election years. Asset prices also may affect budgets, but the impact remains limited in normal times.

This paper reviews recent developments in the management of government debt in the euro area, covering both theoretical and practical aspects. It focuses on key aspects of debt management; the objectives of debt management, its organisation, the maturity of debt, inflation-indexation, currency-denomination, the ownership of debt, and debt issuing and trading practices. Main adjustments include an increase in autonomy of debt management agencies, and a convergence in debt maturities and in debt issuing strategies. Issuance of inflation-indexed bonds and the use of interest rate swaps have increased strongly. While the share of government debt denominated in non-domestic currencies is falling, foreign ownership of euro area government debt is increasing markedly. The observed changes in recent years in part reflect the introduction of the euro and the related integration of European capital markets.