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The Resource Does procyclical fiscal policy reinforce incentives to dollarize sovereign debt?, prepared by Anastasia Guscina, Anna Ilyina and Herman Kamil

Does procyclical fiscal policy reinforce incentives to dollarize sovereign debt?, prepared by Anastasia Guscina, Anna Ilyina and Herman Kamil

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Author
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Summary
This paper explores the link between the cyclical patterns of macroeconomic and policy variables and the currency composition of domestic sovereign debt in emerging market countries. The empirical analysis is anchored in an equilibrium model, in which the dollarization of sovereign debt arises as a result of the optimal portfolio choices by risk-averse investors, and of a sovereign debt manager who takes fiscal policy as given. The model predicts that in countries where the exchange rate is countercyclical (i.e., the exchange rate depreciates during recessions), a more procyclical fiscal policy (i.e., expansionary in good times and contractionary in bad times) would lead, on average, to a more dollarized domestic sovereign debt. The empirical analysis using the Jeanne-Guscina EM Debt database (2006) on the currency structure of the central government debt in 22 emerging market countries over 1980 - 2005, supports these predictions
Language
eng
Work
Publication
Extent
1 online resource (41 pages)
Contents
  • Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Cyclical Patterns in Macroeconomic an d Policy Variables in EMs; III. The Model; A. Households; B. Fiscal Policy and Sovereign Debt Management; C. Equilibrium in the Domestic Bond Market; IV. Testing the Empirical Implications of the Model; A. Stylized Facts; B. Empirical Specification; C. Estimation Technique; D. Data and Variable Construction; E. Main Results and Robustness Tests; 1. Countercyclicality of the Exchange Rate: Summary Statistics; 2. Procyclicality of Fiscal Policy: Summary Statistics
  • 3. Results of Censored Tobit Estimation-Pooled Data: 1980-20051. Exchange Rate Countercyclicality; 2. Fiscal Procyclicality; 3. Dollarization of Sovereign Debt and Dollarization of Bank Loans & Deposits; 4a. Latin America-Domestic Sovereign Debt Structure-Selected Countries; 4b. EM Europe-Domestic Sovereign Debt Structures-Selected Countries; 5. Effect of Countercyclicality of the Exchange Rate on Dollarization of Sovereign Debt, for Different Levels of Fiscal Procyclicality; 4. Robustness Checks for Censored Tobit Estimation: 1980-2005; V. Concluding Remarks
Isbn
9781455287888
Instance
Label
Does procyclical fiscal policy reinforce incentives to dollarize sovereign debt?
Title
Does procyclical fiscal policy reinforce incentives to dollarize sovereign debt?
Statement of responsibility
prepared by Anastasia Guscina, Anna Ilyina and Herman Kamil
Creator
Contributor
Author
Issuing body
Subject
Genre
Language
eng
Summary
This paper explores the link between the cyclical patterns of macroeconomic and policy variables and the currency composition of domestic sovereign debt in emerging market countries. The empirical analysis is anchored in an equilibrium model, in which the dollarization of sovereign debt arises as a result of the optimal portfolio choices by risk-averse investors, and of a sovereign debt manager who takes fiscal policy as given. The model predicts that in countries where the exchange rate is countercyclical (i.e., the exchange rate depreciates during recessions), a more procyclical fiscal policy (i.e., expansionary in good times and contractionary in bad times) would lead, on average, to a more dollarized domestic sovereign debt. The empirical analysis using the Jeanne-Guscina EM Debt database (2006) on the currency structure of the central government debt in 22 emerging market countries over 1980 - 2005, supports these predictions
Member of
Cataloging source
E7B
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Guscina, Anastasia
Illustrations
illustrations
Index
no index present
LC call number
HJ8015
LC item number
.G87 2010 ONLINE
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Ilyina, Anna
  • Kamil, Herman
  • International Monetary Fund
  • International Monetary Fund
  • International Monetary Fund
Series statement
IMF Working Paper
Series volume
WP/10/168
http://library.link/vocab/subjectName
  • Dollarization
  • Debts, Public
  • Fiscal policy
  • Debts, Public
  • Dollarization
  • Fiscal policy
Label
Does procyclical fiscal policy reinforce incentives to dollarize sovereign debt?, prepared by Anastasia Guscina, Anna Ilyina and Herman Kamil
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Cyclical Patterns in Macroeconomic an d Policy Variables in EMs; III. The Model; A. Households; B. Fiscal Policy and Sovereign Debt Management; C. Equilibrium in the Domestic Bond Market; IV. Testing the Empirical Implications of the Model; A. Stylized Facts; B. Empirical Specification; C. Estimation Technique; D. Data and Variable Construction; E. Main Results and Robustness Tests; 1. Countercyclicality of the Exchange Rate: Summary Statistics; 2. Procyclicality of Fiscal Policy: Summary Statistics
  • 3. Results of Censored Tobit Estimation-Pooled Data: 1980-20051. Exchange Rate Countercyclicality; 2. Fiscal Procyclicality; 3. Dollarization of Sovereign Debt and Dollarization of Bank Loans & Deposits; 4a. Latin America-Domestic Sovereign Debt Structure-Selected Countries; 4b. EM Europe-Domestic Sovereign Debt Structures-Selected Countries; 5. Effect of Countercyclicality of the Exchange Rate on Dollarization of Sovereign Debt, for Different Levels of Fiscal Procyclicality; 4. Robustness Checks for Censored Tobit Estimation: 1980-2005; V. Concluding Remarks
Control code
694142030
Dimensions
unknown
Extent
1 online resource (41 pages)
Form of item
online
Isbn
9781455287888
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
color illustrations
Specific material designation
remote
System control number
(OCoLC)694142030
Label
Does procyclical fiscal policy reinforce incentives to dollarize sovereign debt?, prepared by Anastasia Guscina, Anna Ilyina and Herman Kamil
Publication
Copyright
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Cyclical Patterns in Macroeconomic an d Policy Variables in EMs; III. The Model; A. Households; B. Fiscal Policy and Sovereign Debt Management; C. Equilibrium in the Domestic Bond Market; IV. Testing the Empirical Implications of the Model; A. Stylized Facts; B. Empirical Specification; C. Estimation Technique; D. Data and Variable Construction; E. Main Results and Robustness Tests; 1. Countercyclicality of the Exchange Rate: Summary Statistics; 2. Procyclicality of Fiscal Policy: Summary Statistics
  • 3. Results of Censored Tobit Estimation-Pooled Data: 1980-20051. Exchange Rate Countercyclicality; 2. Fiscal Procyclicality; 3. Dollarization of Sovereign Debt and Dollarization of Bank Loans & Deposits; 4a. Latin America-Domestic Sovereign Debt Structure-Selected Countries; 4b. EM Europe-Domestic Sovereign Debt Structures-Selected Countries; 5. Effect of Countercyclicality of the Exchange Rate on Dollarization of Sovereign Debt, for Different Levels of Fiscal Procyclicality; 4. Robustness Checks for Censored Tobit Estimation: 1980-2005; V. Concluding Remarks
Control code
694142030
Dimensions
unknown
Extent
1 online resource (41 pages)
Form of item
online
Isbn
9781455287888
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
color illustrations
Specific material designation
remote
System control number
(OCoLC)694142030

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