A cost-risk analysis of sovereign debt composition in CESEE

Sebastian Beer ()
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Sebastian Beer: University of Vienna, https://www.univie.ac.at/

Focus on European Economic Integration, 2018, issue Q1-18, 6-25

Abstract: Drawing on a newly compiled structural debt database, this article examines sovereign interest rate exposure in ten countries in Central, Eastern and Southeastern Europe (CESEE). The average maturity of sovereign debt has lengthened over time and converged across CESEE, indicating that the likelihood of sudden changes in interest rate has decreased since 2009. Using a simple theoretical model, this article identifies the drivers of this development, highlighting the role of debt managers’ risk preferences.

Keywords: debt management; interest rate risk; financial vulnerability; CESEE region (search for similar items in EconPapers)
JEL-codes: H63 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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