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Public Debt Management And Foreign Currency Denominated Bonds

Author

Listed:
  • SILVIA CECCACCI

    (Department of Economics, University of Rome Tor Vergata, Via Columbia 2, 00133 Rome, Italy)

  • ALESSANDRO MARCHESIANI

    (Faculty of Economics, University of Rome Telma, Via Santa Caterina da Siena 57, 00186 Rome, Italy)

  • LORENZO PECCHI

    (Capitalia Group, Via Paisiello 5, 00198 Rome, Italy)

Abstract

Foreign-currency denominated securities are introduced in a stochastic model à la Missale [13]. It is shown that the percentage share of this bond type, as compared to total debt, is an increasing function of the covariance between the output and the rate of depreciation, but it may or may not be a decreasing function of the volatility of the rate of depreciation.

Suggested Citation

  • Silvia Ceccacci & Alessandro Marchesiani & Lorenzo Pecchi, 2007. "Public Debt Management And Foreign Currency Denominated Bonds," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(05), pages 763-770.
    • Handle: RePEc:wsi:ijtafx:v:10:y:2007:i:05:n:s0219024907004469
    DOI: 10.1142/S0219024907004469
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    References listed on IDEAS

    as
    1. Robert Barro, 2003. "Optimal Management of Indexed and Nominal Debt," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 1-15, May.
    2. Paul van den Noord, 2000. "The Size and Role of Automatic Fiscal Stabilizers in the 1990s and Beyond," OECD Economics Department Working Papers 230, OECD Publishing.
    3. Robert J. Barro, 1995. "Optimal Debt Management," NBER Working Papers 5327, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

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