Is foreign debt portfolio management efficient in emerging economies?

• 成果类型: Article
• 署名作者: Hussein, KA; de Mello, LR Jr
• 署名单位: International Monetary Fund; University of Kent
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/S0304-3878(01)00165-1
• 发表日期: 2001
• 页码: 317-335
• 关键词: foreign debt; emerging economies; Exchange rates

摘要

This paper develops a simple model of foreign debt portfolio management. The model suggests that, under mild conditions, the currency composition of a country's foreign debt portfolio is responsive to exchange rate movements. Empirical evidence is provided for a panel of 14 emerging economies in the period 1970-1998. Attention is focused on the stocks of foreign liabilities denominated in US dollars, Deutschemarks (DM), Japanese yen, and Swiss francs. The results of the empirical analysis show that foreign debt portfolio management has been sub-optimal in the countries under examination. In these countries, the currency composition of foreign debt has not reflected a substitution effect away from the currencies that have appreciated over time vis-a-vis the US dollar. (C) 2001 Elsevier Science B.V. All rights reserved.