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Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy

Du, Wenxin - 2020

We document that governments whose local currency debt provides them with greater hedging benefits actually borrow more in foreign currency. We introduce two features into a government's debt portfolio choice problem to explain this finding: risk-averse lenders and lack of monetary policy...

Persistent link: https://www.econbiz.de/10012854689

Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy

Du, Wenxin - 2016

more foreign-currency debt. We propose that monetary policy credibility explains the currency composition of sovereign debt … and nominal bond risks in the presence of risk-averse investors. In our model, low credibility governments inflate during … inflation, investors require risk premia on nominal debt, making nominal debt issuance costly for low credibility governments …

Persistent link: https://www.econbiz.de/10012456087

Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy

Du, Wenxin - 2019

Persistent link: https://www.econbiz.de/10012864086

Sovereign debt portfolios, bond risks, and the credibility of monetary policy

Du, Wenxin; Pflueger, Carolin E.; Schreger, Jesse - 2016

Persistent link: https://www.econbiz.de/10011544434

Sovereign debt portfolios : risks and liability management operations

Papaioannou, Michael G. - In: Journal of the Asia Pacific economy 16 (2011) 3, pp. 354-360

Persistent link: https://www.econbiz.de/10009503125

Diversification, risk aversion and expectation in a holdout scenario

Eggert, Wolfgang; Stephan, Maximilian; Temme, Janine; … - 2015 - Version 2015/10/09

We argue a holdout is not a destructive investor behaviour but a rational investment decision. This investment decision is characterised by the mean-variance approach. We investigate intercreditor conflict by diverse portfolio structure. We demonstrate that at some point during the Greek (2012)...

Persistent link: https://www.econbiz.de/10011343761