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Domestic debt structures in emerging markets: new empirical evidence

Arnaud Mehl () and Julien Reynaud ()

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: This paper explains why public domestic debt composition in emerging economies can be risky, namely in foreign currency, with a short maturity or indexed. It analyses empirically the determinants of these risk sources separately, developing a new large dataset compiled from national sources for 33 emerging economies over 1994-2006. The paper finds that economic size, the breadth of the domestic investor base, inflation and fiscal soundness are all associated with risky public domestic debt compositions, yet to an extent that varies considerably in terms of magnitude and significance across sources of risk. Only inflation impacts all types of risky debt, underscoring the overarching importance of monetary credibility to make domestic debt compositions in emerging economies safer. Given local bond markets' rapid development, monitoring risky public domestic debt compositions in emerging economies becomes increasingly relevant to global financial stability

Keywords: Public domestic debt; composition; risk; emerging economies (search for similar items in EconPapers)
JEL-codes: F34 F41 G15 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2008-10
New Economics Papers: this item is included in nep-cba, nep-dev and nep-opm
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ftp://mse.univ-paris1.fr/pub/mse/CES2008/Bla08059.pdf (application/pdf)

Related works:
Working Paper: Domestic Debt Structures in Emerging Markets: New Empirical Evidence (2008) Downloads
Working Paper: Domestic Debt Structures in Emerging Markets: New Empirical Evidence (2008) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:bla08059

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