Replication data for: The Currency Composition of Sovereign Debt

Principal Investigator(s): View help for Principal Investigator(s) Pablo Ottonello; Diego J. Perez

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Data_Codes			12/07/2019 02:53:PM
LICENSE.txt	text/plain	14.6 KB	12/07/2019 09:53:AM

Project Citation:

Ottonello, Pablo, and Perez, Diego J. Replication data for: The Currency Composition of Sovereign Debt. Nashville, TN: American Economic Association [publisher], 2019. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-07. https://doi.org/10.3886/E116421V1

Project Description

Summary: We study the currency composition of sovereign debt in emerging economies through the lens of a model in which the government lacks commitment regarding debt and monetary policy. High levels of debt in local currency give rise to incentives to dilute debt repayment through currency depreciation. Governments tilt the currency composition of debt toward foreign currency to avoid inflationary costs and real exchange rate distortions, at the expense of forgoing the hedging properties of local currency debt. Our quantitative model is used to shed light on the recent dynamics of the currency composition of debt and on its cyclical behavior.

Scope of Project

JEL Classification:
      E31 Price Level; Inflation; Deflation
      E32 Business Fluctuations; Cycles
      E52 Monetary Policy
      F34 International Lending and Debt Problems
      H63 National Debt; Debt Management; Sovereign Debt

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Published Versions

V1 [2019-12-07]

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