Replication data for: The Currency Composition of Sovereign Debt
Principal Investigator(s): View help for Principal Investigator(s) Pablo Ottonello; Diego J. Perez
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| codes | 12/07/2019 02:52:PM | ||
| inputs | 12/07/2019 02:52:PM | ||
| output | 12/07/2019 02:52:PM |
Project Description
Summary:
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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:
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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
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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