Publication:
An Alternative Framework for Foreign Exchange Risk Management of Sovereign Debt

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dc.contributor.authorMelecky, Martin
dc.date.accessioned2012-05-25T18:56:33Z
dc.date.available2012-05-25T18:56:33Z
dc.date.issued2008-01
dc.description.abstractThis 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.en
dc.identifierhttp://documents.worldbank.org/curated/en/2008/01/8912546/alternative-framework-foreign-exchange-risk-management-sovereign-debt
dc.identifier.doi10.1596/1813-9450-4458
dc.identifier.urihttps://hdl.handle.net/10986/6452
dc.languageEnglish
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper; No. 4458
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectBALANCE SHEET
dc.subjectBALANCE SHEETS
dc.subjectBANK POLICY
dc.subjectBENCHMARK
dc.subjectBILATERAL EXCHANGE RATE
dc.subjectBORROWING COST
dc.subjectBORROWING STRATEGIES
dc.subjectBUSINESS CYCLES
dc.subjectCAPITAL CONTROLS
dc.subjectCENTRAL BANK
dc.subjectCLOSED ECONOMY
dc.subjectCONTRIBUTION
dc.subjectCREDIBILITY
dc.subjectCURRENCY
dc.subjectCURRENCY COMPOSITION
dc.subjectCURRENCY CRISES
dc.subjectCURRENCY DENOMINATION
dc.subjectCURRENCY EXPOSURES
dc.subjectCURRENCY MISMATCHES
dc.subjectCURRENCY SUBSTITUTION
dc.subjectCURRENCY VALUE
dc.subjectCURRENCY VALUES
dc.subjectDATA AVAILABILITY
dc.subjectDEBT DENOMINATION
dc.subjectDEBT MANAGEMENT
dc.subjectDEBT-SERVICE
dc.subjectDEMAND FOR MONEY
dc.subjectDEPENDENT VARIABLE
dc.subjectDEPRECIATION
dc.subjectDERIVATIVE
dc.subjectDERIVATIVES
dc.subjectDEVELOPING COUNTRIES
dc.subjectDEVELOPING COUNTRY
dc.subjectDEVELOPMENT ECONOMICS
dc.subjectDEVELOPMENT OF BOND MARKETS
dc.subjectDOMESTIC BOND
dc.subjectDOMESTIC BOND MARKETS
dc.subjectDOMESTIC CURRENCY
dc.subjectDOMESTIC ECONOMY
dc.subjectDOMESTIC INTEREST RATE
dc.subjectDOMESTIC MARKETS
dc.subjectDOMESTIC PRICE
dc.subjectDOMESTIC PRICE LEVEL
dc.subjectECONOMETRIC ANALYSIS
dc.subjectECONOMIC ACTIVITY
dc.subjectEMERGING ECONOMIES
dc.subjectEMERGING MARKET
dc.subjectEMERGING MARKET ECONOMIES
dc.subjectEQUILIBRIUM
dc.subjectERROR TERM
dc.subjectEXCHANGE MARKET
dc.subjectEXCHANGE RATE
dc.subjectEXCHANGE RATE MANAGEMENT
dc.subjectEXCHANGE RATE MOVEMENTS
dc.subjectEXCHANGE RATE REGIMES
dc.subjectEXCHANGE RATE RISK
dc.subjectEXCHANGE RATE VARIABILITY
dc.subjectEXCHANGE RATE VOLATILITY
dc.subjectEXCHANGE RATES
dc.subjectEXPENDITURE
dc.subjectEXPLANATORY VARIABLES
dc.subjectEXPOSURE
dc.subjectEXPOSURES
dc.subjectEXTERNAL BALANCES
dc.subjectEXTERNAL SHOCKS
dc.subjectFINANCIAL INTEGRATION
dc.subjectFOREIGN CURRENCIES
dc.subjectFOREIGN CURRENCY
dc.subjectFOREIGN CURRENCY DEBT
dc.subjectFOREIGN DEBT
dc.subjectFOREIGN EXCHANGE
dc.subjectFOREIGN EXCHANGE DEBT
dc.subjectFOREIGN EXCHANGE MARKETS
dc.subjectFOREIGN EXCHANGE RESERVES
dc.subjectFOREIGN EXCHANGE RISK
dc.subjectFOREIGN INTEREST
dc.subjectFOREIGN INTEREST RATE
dc.subjectFUNCTIONAL FORMS
dc.subjectFUNDAMENTAL DETERMINANTS
dc.subjectGDP
dc.subjectGOVERNMENT BORROWING
dc.subjectGOVERNMENT BUDGET
dc.subjectGOVERNMENT DEBT
dc.subjectGOVERNMENT REVENUES
dc.subjectGROWTH RATES
dc.subjectHARD CURRENCY
dc.subjectHEDGES
dc.subjectHIGH-INCOME COUNTRIES
dc.subjectINCOME
dc.subjectINDIVIDUAL CURRENCIES
dc.subjectINFLATION
dc.subjectINSTRUMENT
dc.subjectINTEREST RATE
dc.subjectINTEREST RATE RISK
dc.subjectINTEREST RATE VOLATILITY
dc.subjectINTEREST RATES
dc.subjectINTERNATIONAL BANK
dc.subjectINTERNATIONAL CURRENCY
dc.subjectINTERNATIONAL ECONOMICS
dc.subjectINTERNATIONAL FINANCIAL STATISTIC
dc.subjectINTERNATIONAL MONEY
dc.subjectLEVEL OF RISK
dc.subjectLEVERAGE
dc.subjectLIABILITY
dc.subjectLIABILITY MANAGEMENT
dc.subjectLOCAL CURRENCY
dc.subjectLONG-TERM COSTS
dc.subjectLOW-INCOME
dc.subjectLOW-INCOME COUNTRIES
dc.subjectM2
dc.subjectMAJOR CURRENCIES
dc.subjectMARGINAL UTILITY
dc.subjectMARKET INTEREST
dc.subjectMARKET INTEREST RATE
dc.subjectMARKET INTEREST RATES
dc.subjectMARKET PRESSURE
dc.subjectMIDDLE-INCOME COUNTRIES
dc.subjectMONETARY AGGREGATE
dc.subjectMONETARY AUTHORITY
dc.subjectMONETARY POLICY
dc.subjectMONEY DEMAND
dc.subjectMONEY DEMAND INCREASES
dc.subjectMONEY MARKET
dc.subjectMONEY SUPPLY
dc.subjectNOMINAL EXCHANGE RATES
dc.subjectNOMINAL INTEREST RATE
dc.subjectOIL REVENUES
dc.subjectOPTIMAL ALLOCATION
dc.subjectOPTIMIZATION
dc.subjectOPTIMUM CURRENCY AREA
dc.subjectOPTIMUM CURRENCY AREAS
dc.subjectOUTPUT
dc.subjectOUTPUT GAP
dc.subjectPANEL DATA ESTIMATION
dc.subjectPEG
dc.subjectPHILLIPS CURVE
dc.subjectPOLITICAL ECONOMY
dc.subjectPORTFOLIO
dc.subjectPORTFOLIOS
dc.subjectPRESENT VALUE
dc.subjectPUBLIC DEBT
dc.subjectPUBLIC DEBT MANAGEMENT
dc.subjectPUBLIC DEBT MANAGERS
dc.subjectRANDOM VARIABLES
dc.subjectREAL INTEREST
dc.subjectREAL INTEREST RATE
dc.subjectREFERENCE CURRENCIES
dc.subjectREGRESSION ANALYSIS
dc.subjectRELATIVE PRICE
dc.subjectRESERVES
dc.subjectRETURN
dc.subjectRISK MANAGEMENT
dc.subjectSHORT-TERM INTEREST RATES
dc.subjectSOVEREIGN DEBT
dc.subjectSTANDARD DEVIATION
dc.subjectSTANDARD DEVIATIONS
dc.subjectSTEADY STATE
dc.subjectSTOCKS
dc.subjectSTRUCTURAL SHOCKS
dc.subjectSUPPLY SIDE
dc.subjectTAX
dc.subjectTERM STRUCTURE OF INTEREST RATES
dc.subjectTRANSACTIONS COSTS
dc.subjectTRANSMISSION MECHANISMS
dc.subjectUNCERTAINTY
dc.subjectUSE OF DERIVATIVES
dc.subjectWEIGHTS
dc.subjectZERO WEIGHTS
dc.titleAn Alternative Framework for Foreign Exchange Risk Management of Sovereign Debten
dspace.entity.typePublication
okr.crossref.titleAn Alternative Framework For Foreign Exchange Risk Management Of Sovereign Debt
okr.date.doiregistration2025-04-10T10:03:39.613067Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/2008/01/8912546/alternative-framework-foreign-exchange-risk-management-sovereign-debt
okr.globalpracticeMacroeconomics and Fiscal Management
okr.globalpracticeFinance and Markets
okr.globalpracticeTrade and Competitiveness
okr.guid632671468315279882
okr.identifier.doi10.1596/1813-9450-4458
okr.identifier.externaldocumentum000158349_20080102102514
okr.identifier.internaldocumentum8912546
okr.identifier.reportWPS4458
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2008/01/02/000158349_20080102102514/Rendered/PDF/wps4458.pdfen
okr.topicFinance and Financial Sector Development::Currencies and Exchange Rates
okr.topicEconomic Theory and Research
okr.topicPrivate Sector Development::Emerging Markets
okr.topicFinance and Financial Sector Development::Debt Markets
okr.topicMacroeconomics and Economic Growth
okr.unitDevelopment Research Group (DECRG)
okr.volume1 of 1
relation.isAuthorOfPublicationc2369c70-649c-4c08-a1c8-b1dcb7d123de
relation.isAuthorOfPublication.latestForDiscoveryc2369c70-649c-4c08-a1c8-b1dcb7d123de
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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