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An Analysis of Exchange Rate Risk Exposure Related to the Public Debt Portfolio of Tunisia: Beyond VaR Approach

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  • Samia Omrane

    ()
    (Faculté des Sciences Economiques et de Gestion de Sfax, Université de Sfax, Tunisia)

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    Abstract

    The aim of this study is to assess the exchange rate risk associated with the Tunisian public debt portfolio through Value-at-Risk (VaR) methodology. We use daily spot exchange rates of the Tunisian dinar against the three main debt currencies, the dollar, the euro and the yen. Our period of interest is from 02/01/2004 to 31/12/2008. Thetas and Marginal VaR analysis reveal that Japanese yen is the most risky currency constituting the Tunisian public debt portfolio. American dollar appears as a source of risk for the Tunisian external debt but remains less risky than the yen, while, the euro constitutes a hedge currency for exchange risk management associated with the Tunisian public debt portfolio

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    File URL: http://www.panoeconomicus.rs/casopis/2012_1/04%20Samia%20Omrane%20v2.pdf
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    Bibliographic Info

    Article provided by Savez ekonomista Vojvodine, Novi Sad, Serbia in its journal Panoeconomicus.

    Volume (Year): 59 (2012)
    Issue (Month): 1 (March)
    Pages: 59-87

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    Handle: RePEc:voj:journl:v:59:y:2012:i:1:p:59-87

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    Web page: http://www.panoeconomicus.rs/

    Related research

    Keywords: Public debt management; Exchange risk; Value at risk; Tunisia.;

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    1. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C.P., 2005. "An evaluation framework for alternative VaR-models," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 944-958, October.
    2. Mazin A.M. Al Janabi, 2006. "Foreign-exchange trading risk management with value at risk: Case analysis of the Moroccan market," Journal of Risk Finance, Emerald Group Publishing, vol. 7(3), pages 273-291, May.
    3. Vlaar, Peter J. G., 2000. "Value at risk models for Dutch bond portfolios," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1131-1154, July.
    4. Laura Alfaro & Fabio Kanczuk, 2007. "Debt Maturity: Is Long-Term Debt Optimal?," NBER Working Papers 13119, National Bureau of Economic Research, Inc.
    5. Huisman, R. & Koedijik, K.G. & Pownall, R.A.J., 1998. "VaR-x: Fat Tails in Financial Risk Management," Papers 98-54, Southern California - School of Business Administration.
    6. Fatma Marrakchi Charfi, 2009. "Euro / dollar : quelle stratégie de change pour la Tunisie ?," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(1), pages 85-114.
    7. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    8. Udaibir S. Das & Jay Surti & Faisal Ahmed & Michael G Papaioannou & Guilherme Pedras, 2010. "Managing Public Debt and its Financial Stability Implications," IMF Working Papers 10/280, International Monetary Fund.
    9. Cabedo Semper, J. David & Moya Clemente, Ismael, 2003. "Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis," European Journal of Operational Research, Elsevier, vol. 150(3), pages 516-528, November.
    10. Wu, Ping-Tsung & Shieh, Shwu-Jane, 2007. "Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 248-259, March.
    11. Longin, Francois M., 2000. "From value at risk to stress testing: The extreme value approach," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1097-1130, July.
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