IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Exchange Rate Risk Exposure Related to Public Debt Portfolio of Pakistan: Application of Value-at-Risk Approaches

Listed author(s):
  • Farhan Akbar

    ()

    (PhD candidate MSE Paris 1 University (Pantheon Sorbonne) France)

  • Thierry Chauveau
Registered author(s):

    The study analyzes exchange rate risk related to three currencies i.e. euro, US dollar and Japanese yen on Public Debt Portfolio of Pakistan (PDPP) through value-at-risk (VAR) methodology for period 2001 to 2006. It is found that Pakistan’s public debt management with respect to exchange rate exposure lacks hedging strategy. This is evident from the fact that none of the currencies constituting PDPP has negative beta or negative component VAR. Beta and Marginal VAR analysis reveal that individually dollar is the least risky and Japanese yen as the most risky currency constituting PDPP. The lack of hedging strategy, revealed by beta and component VAR analysis has also been confirmed by the best hedge analysis.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.sbp.org.pk/research/bulletin/2009/Vol5No.2/FarhanAkbar.pdf
    Download Restriction: no

    Article provided by State Bank of Pakistan, Research Department in its journal SBP Research Bulletin.

    Volume (Year): 5 (2009)
    Issue (Month): ()
    Pages: 15-34

    as
    in new window

    Handle: RePEc:sbp:journl:40
    Contact details of provider: Postal:
    CENTRAL DIRECTORATE, I.I. CHUNDRIGAR ROAD, KARACHI-74000

    Web page: http://www.sbp.org.pk/
    Email:


    More information through EDIRC

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as
    in new window


    1. Panzar, John C & Rosse, James N, 1987. "Testing for "Monopoly" Equilibrium," Journal of Industrial Economics, Wiley Blackwell, vol. 35(4), pages 443-456, June.
    2. Baumol, William J, 1982. "Contestable Markets: An Uprising in the Theory of Industry Structure," American Economic Review, American Economic Association, vol. 72(1), pages 1-15, March.
    3. Bikker, Jacob A. & Haaf, Katharina, 2002. "Competition, concentration and their relationship: An empirical analysis of the banking industry," Journal of Banking & Finance, Elsevier, vol. 26(11), pages 2191-2214, November.
    4. Allen, Franklin & Gale, Douglas, 2004. "Competition and Financial Stability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(3), pages 453-480, June.
    5. Jason Allen & Ying Liu, 2007. "A Note on Contestability in the Canadian Banking Industry," Discussion Papers 07-7, Bank of Canada.
    6. Stijn Claessens & Luc Laeven, 2005. "Financial Dependence, Banking Sector Competition, and Economic Growth," Journal of the European Economic Association, MIT Press, vol. 3(1), pages 179-207, 03.
    7. Claessens, Stijn & Laeven, Luc, 2004. "What Drives Bank Competition? Some International Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(3), pages 563-583, June.
    8. Arby, Muhammad Farooq, 2003. "Structure and Performance of Commercial Banks in Pakistan," MPRA Paper 4983, University Library of Munich, Germany.
    9. Carol Ann Northcott, 2004. "Competition in Banking: A Review of the Literature," Staff Working Papers 04-24, Bank of Canada.
    10. Jason Allen & Walter Engert, 2007. "Efficiency and Competition in Canadian Banking," Bank of Canada Review, Bank of Canada, vol. 2007(Summer), pages 33-45.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:sbp:journl:40. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Faisal Saleem)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.