This diploma thesis deals with possible usage of financial derivatives in context of government debt risk management, mainly in the Czech Republic. After the opening analysis of government debt development, the thesis describes risks, which are involved in government debt management. After that it handles with quantification of those risks and of their possible securing, especially with respect to financial derivatives usage. This thesis tries to answer the question, whether using financial derivatives in government debt management is reasonable. To solve this I used an analysis of 2010 data, in which I compare profitability of emission of classical bonds compared to emission of so called structured instruments, i.e. joint of classical bond and financial derivative. In conclusion of thesis there is usage of financial derivatives confronted with their negative characteristics as well as with cases of their abuse.

Tato práce se soustředí na problematiku dluhové teorie a politiky centrální vlády. Práce je rozdělena do tří kapitol. První kapitola se zabývá různými přístupy ekonomických škol ke kreaci dluhu a jeho složení. Součástí je i osvětlení pojmů vztahujících se k dluhové problematice. Druhá kapitola je zaměřena na definici metodických přístupů, jež jsou v České republice používány. Pozornost je dbána především na vztah přístupu k dluhu z hlediska ESA 95 a EDP. Třetí kapitola se již soustředí na samotné časové řady vládního dluhu i vládního deficitu v letech 1995 - 2006. Zmíněn je i vliv podmíněných závazků státu a transformačních institucí na vládní dluh i na vývoj v ČR vůbec. Kapitola je uzavřena krátkým srovnáním vládních dluhů i deficitů v rámci EU.

The aim of this thesis is to point out recent development in the field of debt creation, its concordance with academic practice and to outline feasible utilization of financial modeling in the area of government deficits. The effort is to put institutional operation of debt management into context of recent history of financial markets and to verify its success. The process of debt portfolio management with use of advanced financial tools is shown on the sample of Czech debt manager. From the observation of the overall environment we can state the effort to develop efficient domestic debt market and the conception of long-term strategies based on risk management principles and to draw a set of specific recommendations applicable both to local and general conditions.

The General government debt development is very discussed and present topic nowadays. The worldwide bad situation caused by strong growth of the public debt is being worsened due to the present economic crisis. The main goal of this diploma is to analyze the development of the General government debt of all the member states of the European Union in the first decade of the 21. century, to evaluate the main aspects of the public debt and to predict its possible future development.

Usually people believe that domestic debt in Chinese compare with the GDP is very less, so in this way the government had the ability to issue more treasury bond. So in 1988, when Chinese implement the Rehabilitation of bank balance sheet, in order to write-off state-owned commerce banks system non-performing loan, it uses treasury bond to accumulate capital. Whereas, this kind of implementation does not consider Chinese future financial ability and invisible debt keep soaring, including state-owned enterprises non-performing loan, the debt of the state-owned policy banks. Some scholar also express pessimism, they assume if the government debt continue to increase, this will have a high financial risk resulting in Chinese Economic collapse. So, in calculating the Chinese government debt cause by the state-own financial institution, not only do we consider the figure provided by the Chinese official, but also have to add the Central Government invisible debt. This research is based on time series model in calculating year 2008 Chinese government debt, with Revenue Enhancement, commercial bank behavior and the above two financial policy in making evaluation. Notice: 2008 treasury bond in whatever policy measure is still higher than 60% Basle standard. This implies that in the near future the Chinese will not be able to withstand the huge treasury bond. Simultaneously, this manifest Chinese government debt have been underestimated, and falsely believe it can have the ability to be in the state of solvency, this lead to government continuous issuing of treasury bond. This will hamper the Chinese financial structure. As for the government debt, it only depends on Revenue Enhancement, that is control deficit rate which cannot solve the huge government debt. However, solving the government debt problem, not only with the measure of issuing treasury bond, this will result in raising the debt with the debt. The best method will be to pass resolution in all ways, slowly and steadily in writing off the debt. In this way it can lead Chinese to a Fiscal Sustainability result.

Bakalauro baigiamajame darbe nagrinėjamos Lietuvos valstybės skolos valdymo priemonės atliekant jų analizę 2004 – 2012 metų laikotarpiu. Teorinėje darbo dalyje apibūdinta valstybės skolos sąvoka, jos sandara. Aptariama valstybės skolos valdymo reikšmė šaliai bei susistemintos ir apibūdintos skolos valdymo priemonės. Praktinėje dalyje detalizuota Lietuvos ekonominė padėtis 2004 – 2012 metų laikotarpiu. Pagal teorinėje dalyje apibūdintas skolos valdymo priemones, atsižvelgus į Lietuvos 2004 – 2012 metų ekonominius ciklus, atlikta Lietuvos skolos valdymo priemonių analizė. Tyrime išsiaiškinta, kad ekonomikos pakilimo laikotarpiu (nuo 2004 iki 2008 metų vidurio bei pradėjus justi pirmus ekonomikos atsigavimo požymius 2011 – 2012 metais) Lietuvos skolinimosi poreikis kilo siekiant padengti senas skolas. Nuosmukio laikotarpiu (nuo 2008 vidurio iki 2010 metų) skolinimosi poreikį lėmė biudžeto deficitas. Tyrimas padėjo atskleisti tai, kad skolos valdymo struktūra, socialinės, politinės bei ekonominės aplinkos gerinimas reikalauja didesnio skolos valdytojų dėmesio. Be to išsiaiškinta, kad tenkinant dabartinius Lietuvos valstybės skolinius poreikius mažai dėmesio skiriama jų poveikiui ateities kartoms išsiaiškinti. / The purpose of Bachelor's thesis is to structure government debt management measures and to accomplish analysis of Lithuania debt management measures of 2004–2012 period. The theoretical part of the paper describes the public debt and it’s composition, and public debt management impact on Lithuanian country. The practical part of this paper goes into details of Lithuanian economic condition of 2004-2012 period. The analysis of Lithuanian debt management measures was done on the basis of debt management measures as described in theoretical part. This study clarified that Lithuanian demand of higher debt to cover previous debt was growing in better economic times (from 2004 till the middle of 2008 and from 2011 till 2012). However, higher debt demand was also growing which was the impact of higher budget deficit (from the middle of 2008 till 2010). From the results of this paper we can conclude that the debt managers should pay more attention to debt management, social and political and moreover economic environment improvements. Also we can conclude that there is insufficient attention to future generations in contrast of current Lithuanian liabilities.

The purpose of this thesis is to examine the effects of macroeconomic  indicators on the government debt of Portugal, Italy, Ireland, Greece and Spain (PIIGS), based on the data from 1990 to 2010 and employed a panel data model. The research finds that the macroeconomc conditions of the PIIGS are all deteriorated to some extent, and these deteriorations lead the accumulation of government debt. The expansionary fiscal policy is an important factor that accounts for the high debt ratio of the PIIGS. On the other hand, the discrepancy between the unified monetary policy and the separated fiscal policy obstructs the adjustment mechanism by the individual government, and leads the exchange rate and interest rate instruments not efficient.

In this study, stochastic simulation based risk analysis is applied to the government domestic debt stock in Turkey with the motivation to identify the cost and risk characteristics of alternative debt financing strategies. Future path of interest rates is simulated by using the yield curve forecasting framework in Diebold and Li (2002), which is founded on the Nelson-Siegel yield curve model. Yield curve simulation is based on the estimated term structure of interest rates for the period June 2001-July 2004. Simulated yield curves are generally upward sloped and concave. Contrary to the common observation, long-term yields are more volatile compared to short-term yields. Under each financing strategy, debt is rolled over on top of simulated term structure of interest rates. Alternative financing strategies are compared with respect to absolute Cost-at-Risk, relative Cost-at-Risk and relative risk measures computed from the simulated cost distributions. Results of the risk analysis are influenced by the characteristics of the simulated term structure of interest rates and the additional yield imposed on the coupon bonds, which is assumed to reflect risk perception of investors for increased maturity.

The concern with persistant high government deficits and debts has been one of the most controversial and discussed issues among academics and policymakers during the last two decades of the twentieth century. Despite recent efforts towards fiscal consolidation in most developed countries, expensive welfare programs and unfunded social security systems can exert a considerable strain on public finances over the next generations. The main objective of this thesis is to investigate whether current fiscal policies are sustainable, that is, able to guarantee the government's solvency, and what are the consequences of unsustainability on monetization, inflation and interest rates. The first question is tested by examining the long-run univariate and multivariate stochastic properties of the fiscal variables, as implied by the intertemporal budget constraint. The second question is assessed within a vector autoregressive framework, which allows the consideration of feedback mechanisms often neglected in the literature. More specifically, the econometric methodology employed throughout the study comprises recent developments in cointegration analysis, panel data techniques, bounds-ARDL procedure, and Granger non-causality. The empirical analysis is focused on a comparative study of six core members of the European Union, during the post-war period: Belgium, France, Germany, Italy, Netherlands and United Kingdom. The evidence suggests that only Germany and the Netherlands have been following a sustainable fiscal path, although the latter remains vulnerable to the consequences of an ever-increasing stock of debt. However, unsustainable fiscal policies do not seem to have imposed an excessive burden on monetary policies, as predicted by the conventional economic theory. Apart from Italy, there is no empirical evidence that high deficits necessarily imply monetary financing, growing inflation and rising interest rates.

This thesis deals with the development and structure of Czech Government Debt in comparison with other countries of Visegrad group. In the first part, there is a description of debt management, the institutional arrangement and financial instruments. In the second part, there is a comparison with Government Debts of Slovakia, Poland and Hungary.