Data di Pubblicazione:
2005
Citazione:
Public Debt Management in Brazil / A. Missale, F. Giavazzi - In: Inflation targeting, debt, and the Brazilian experience / F. Gavazzi, I. Goldfajn, S. Herrera. - Cambridge, Massachusetts : MIT press, 2005 Apr. - ISBN 0-262-07259-9. - pp. 117-156
Abstract:
This article derives the optimal composition of the Brazilian public debt by
looking at the relative impact of the risk and cost of alternative debt
instruments on the probability of missing the stabilization target. This
allows to price risk against the expected cost of debt service and thus to
find the optimal combination along the trade off between cost and risk
minimization. The optimal debt structure is a function of the expected
return differentials between debt instruments, of the conditional variance
of debt returns and of their covariances with output growth, inflation,
exchange-rate depreciation and the Selic rate. We estimate the relevant
covariances by: i) exploiting the daily survey of expectations; ii)
simulating a small structural model of the Brazilian economy under different
shocks; iii) estimating the unanticipated components of the relevant
variables with forecasting regressions. The empirical evidence suggests that
a large share of the Brazilian debt should be indexed to the price level.
Fixed-rate bonds should be preferred to Selic indexed bonds, while the share
of dollar denominated (and indexed) bonds should be further reduced from the
current high level.
Tipologia IRIS:
03 - Contributo in volume
Keywords:
Debt management ; debt stabilization ; debt structure ; dollar denomination ; inflation-indexation ; interest rates
Elenco autori:
A. Missale, F. Giavazzi
Link alla scheda completa:
Titolo del libro:
Inflation targeting, debt, and the Brazilian experience