An Alternative Framework For Foreign Exchange Risk Management of Sovereign Debt
An Alternative Framework For Foreign Exchange Risk Management of Sovereign Debt:

This paper proposes a measure of synchronization in the movements of relevant domestic and foreign fundamentals for choosing suitable currency for denomination of foreign debt. The selection of explanatory variables for exchange rate volatility is motivated using a New Keynesian Policy model. The mo...

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Bibliographische Detailangaben
1. Verfasser: Melecky, Martin (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Washington, D.C The World Bank 2008
Schlagworte:
Currencies and Exchange Rates
Currency
Debt Management
Debt Markets
Economic Theory and Research
Emerging Markets
Exchange Rate
Finance and Financial Sector Development
Fiscal and Monetary Policy
Foreign Debt
Foreign Exchange
Foreign Exchange Risk
Inflation
Interest Rate
Macroeconomics and Economic Growth
Private Sector Development
Public Sector Development
Risk Management
Sovereign Debt
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Volltext
Zusammenfassung:This paper proposes a measure of synchronization in the movements of relevant domestic and foreign fundamentals for choosing suitable currency for denomination of foreign debt. The selection of explanatory variables for exchange rate volatility is motivated using a New Keynesian Policy model. The model predicts that not only traditional optimal currency area variables, but also variables considered by the literature on currency preferences, such as money velocity, should be relevant for explaining exchange rate volatility. The findings show that measures of inflation synchronization, money velocity synchronization, and interest rate synchronization can be useful indicators for decisions on the currency denomination of foreign debt
Beschreibung:Weitere Ausgabe: Melecky, Martin: An Alternative Framework For Foreign Exchange Risk Management of Sovereign Debt
Beschreibung:1 Online-Ressource (1 online resource (33 p.))

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