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)
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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.
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