The Risk Premiumon Italian Government Debt, 1976-1988

Carlo Cottarelli and Mauro Mecagni

No 1990/038, IMF Working Papers from International Monetary Fund

Abstract: This paper considers the behavior of the yield differential between government and nongovernment bonds in Italy between 1976 and 1988. It is shown that the trend increase of the differential observed in this period was significantly influenced by the deterioration of public finances, as reflected both by an increase in the relative supply of government with respect to nongovernment paper and by a worsening of selected default risk indicators. In addition, the effect of relative supply factors was found to be statistically more robust and quantitatively more important than the effect of risk indicators in explaining the movements of the yield differential.

Keywords: WP; yield differential; risk premium; SCI bond; BTPs issue; asset yield; debt ratio; Bonds; Sovereign bonds; Debt default; Return on investment (search for similar items in EconPapers)
Pages: 42
Date: 1990-04-01
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=3052 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:1990/038

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().