Data di Pubblicazione:
2004
Citazione:
High Public Debt in Currency Crises : Fundamentals versus Signaling Effects / P. Benigno, A. Missale. - In: JOURNAL OF INTERNATIONAL MONEY AND FINANCE. - ISSN 0261-5606. - 23:2(2004), pp. 165-188. [10.1016/j.jimonfin.2003.10.006]
Abstract:
This paper examines how public debt, government credibility and external
circumstances affect the probability of currency devaluations in a
three-period, open-economy version of the Barro-Gordon (1983) model.
Nominal public debt links current to future policy actions:
resisting a crisis may either enhance or undermine the sustainability
of the exchange rate regime depending on whether what matters is
the government's reputation or fundamentals, i.e.\ the level of the
debt. The focus is on the impact of
public debt, debt maturity and the government's credibility on the expected
devaluation in the current and future periods. We can thus identify the
factors that affect the short-term interest rate and the forward rate,
hence derive predictions about the level and the slope of the yield curve.
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
credibility ; debt maturity ; fixed
exchange rates ; yield curve
Elenco autori:
P. Benigno, A. Missale
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