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

  • Samia Omrane

    ()

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

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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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
Contact details of provider: Web page: http://www.panoeconomicus.rs/

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  1. Michael G. Papaioannou, 2009. "Exchange Rate Risk Measurement and Management: Issues and Approaches for Public Debt Managers," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 7(1), pages 7-34.
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  3. Wissem Ajili, 2008. "A Value-At-Risk Approach To Assess Exchange Risk Associated To A Public Debt Portfolio: The Case Of A Small Developing Economy," World Scientific Book Chapters, in: Risk Management And Value Valuation and Asset Pricing, chapter 2, pages 11-60 World Scientific Publishing Co. Pte. Ltd..
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  6. 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.
  7. Tan, Kok-Hui & Chan, Inn-Leng, 2003. "Stress testing using VaR approach--a case for Asian currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 39-55, February.
  8. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
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  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. 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.
  12. 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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  14. 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.
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