PUBLIC DEBT MANAGEMENT AND FOREIGN CURRENCY DENOMINATED BONDS

Silvia Ceccacci (), Alessandro Marchesiani () and Lorenzo Pecchi ()
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Silvia Ceccacci: Department of Economics, University of Rome Tor Vergata, Via Columbia 2, 00133 Rome, Italy
Lorenzo Pecchi: Capitalia Group, Via Paisiello 5, 00198 Rome, Italy

International Journal of Theoretical and Applied Finance (IJTAF), 2007, vol. 10, issue 05, 763-770

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.

Keywords: Stability and Growth Pact; government debt management; foreign-currency denominated securities (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1142/S0219024907004469

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