When sovereign spreads increase, debt managers in the euro area face a funding dilemma. They can either issue more short-term debt, thereby increasing roll-over risk, or issue long-term debt at higher borrowing costs. The latter choice may threaten debt sustainability. Using a sample of monthly data for 10 countries in the euro area, we measure how the share of short-term debt issuance reacts to bond yields, term spreads, default spreads, and money market spreads. We find that sovereign risk is a significant variable in debt reaction functions: higher default spreads increase the reliance on short-term funding, making the euro area more prone to funding crises in individual member states. As a solution to this problem, we discuss a proposal for an interest stabilization mechanism. By providing conditional interest subsidies to distressed countries, such a mechanism can maintain market access and avoid bad bond market equilibria. It will reduce the incentive of debt managers to shorten the maturity structure of public debt and thereby make the euro area less fragile (JEL codes: E43, F45, and H63).

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债务管理人对欧元区主权风险的反应：证据和政策含义

当主权利差扩大时，欧元区的债务管理者面临融资困境。他们要么发行更多短期债务，从而增加展期风险，要么以更高的借贷成本发行长期债务。后一种选择可能会威胁到债务的可持续性。我们使用欧元区 10 个国家的月度数据样本，衡量短期债务发行份额对债券收益率、期限利差、违约利差和货币市场利差的反应。我们发现主权风险是债务反应函数中的一个重要变量：较高的违约利差增加了对短期融资的依赖，使欧元区更容易出现个别成员国的融资危机。作为解决这个问题的方法，我们讨论了一个利益稳定机制的建议。通过向陷入困境的国家提供有条件的利息补贴，这种机制可以维持市场准入，避免债券市场出现不良均衡。它将减少债务管理者缩短公共债务期限结构的动机，从而降低欧元区的脆弱性（JEL 代码：E43、F45 和 H63）。