Debt Matters

Sammanfattning

This paper explores whether public debt and associated media coverage affect stock market volatility in Sweden, the United States and the United Kingdom. Using monthly data from January 2004 to March 2025, GARCH(1, 1) models with explanatory variables are estimated to test two hypotheses derived from earlier research. One finding indicates that an increase in public debt reduces stock market volatility in Sweden, suggesting that Sweden has the fiscal space to increase its public debt. Another finding indicates that an increase in media coverage increases stock market volatility in the United Kingdom, likely due to recent political uncertainties such as Brexit. By shedding light on this question, our study contributes to a deeper understanding of the relationship between public debt and its media coverage, and stock market volatility.