Fiscal vulnerabilities depend on both the level and composition of government debt. This study examines the role of debt thresholds and debt composition in driving the nonlinear behaviour of long-term interest rates through a novel approach, a panel smooth transition regression with a general logistic model. The main findings are threefold. First, the impact of the expected public debt level on interest rates rises exponentially when the share of foreign private holdings exceeds approximately 20% of government debt denominated in local currency. Second, if the public debt level exceeds a certain level, an increase in foreign private holding of government debt could raise interest rates, offsetting the downward pressure from higher market liquidity. Third, out-of-sample forecasts of this novel non-linear model are more accurate than those of previous methods.

中文翻译：

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债务不容忍：门槛水平和构成*

财政脆弱性取决于政府债务的水平和构成。本研究通过一种新颖的方法，即具有一般逻辑模型的面板平滑过渡回归，检验了债务阈值和债务构成在驱动长期利率非线性行为中的作用。主要发现有三方面。首先，当外国私人持股比例超过以本币计价的政府债务的约 20% 时，预期公共债务水平对利率的影响呈指数级上升。其次，如果公共债务水平超过一定水平，外国私人增持政府债务可能会提高利率，抵消市场流动性增加带来的下行压力。第三，