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Understanding the High Interest Rates on Italian Government Securities

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  • Giovannini, Alberto
  • Piga, Gustavo

Abstract

This paper discusses several determinants of the differential between yields on Italian government securities and yields on foreign government securities. We concentrate on expectations of (at least partial) insolvency, tax factors and exchange rate expectations. The evidence suggests that most of the differential between the cost of Italian debt and the cost of foreign (for example, German) debt is due to exchange rate expectations.

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File URL: http://www.cepr.org/pubs/dps/DP720.asp
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Bibliographic Info

Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 720.

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Date of creation: Oct 1992
Date of revision:
Handle: RePEc:cpr:ceprdp:720

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Related research

Keywords: Exchange-rate Expectations; Italian Debt; Public Debt; Risk-Premium; Witholding Tax;

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Cited by:
  1. Marta Gómez-Puig, . "Monetary integration and the cost of borrowing," Working Papers on International Economics and Finance 05-05, FEDEA.
  2. Claudio E.V. Borio & Robert N. McCauley, 1998. "The Anatomy of the Bond Market Turbulence of 1994," Macroeconomics 9809004, EconWPA, revised 24 Feb 1999.
  3. Heinemann, Friedrich & Winschel, Viktor, 2001. "Public deficits and borrowing costs: the missing half of market discipline," ZEW Discussion Papers 01-16, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  4. Landon, Stuart & Smith, Constance E., 2007. "Government debt spillovers in a monetary union," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 135-154, August.
  5. Samir Jahjah, 2001. "Financial Stability and Fiscal Crises in a Monetary Union," IMF Working Papers 01/201, International Monetary Fund.
  6. Caporale, Guglielmo Maria & Williams, Geoffrey, 2002. "Long-term nominal interest rates and domestic fundamentals," Review of Financial Economics, Elsevier, vol. 11(2), pages 119-130.

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