The Risk Premiumon Italian Government Debt, 1976-1988

April 1, 1990

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Carlo Cottarelli, and Mauro Mecagni. The Risk Premiumon Italian Government Debt, 1976-1988, (USA: International Monetary Fund, 1990) accessed December 26, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper considers the behavior of the yield differential between government and nongovernment bonds in Italy between 1976 and 1988. It is shown that the trend increase of the differential observed in this period was significantly influenced by the deterioration of public finances, as reflected both by an increase in the relative supply of government with respect to nongovernment paper and by a worsening of selected default risk indicators. In addition, the effect of relative supply factors was found to be statistically more robust and quantitatively more important than the effect of risk indicators in explaining the movements of the yield differential.

Subject: Banking, Bonds, Debt default, External debt, Financial institutions, National accounts, Public debt, Return on investment, Sovereign bonds

Keywords: Asset yield, Bonds, BTPs issue, Debt default, Debt ratio, Return on investment, Risk premium, SCI bond, Sovereign bonds, WP, Yield differential

Publication Details

Pages:

42
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1990/038
Stock No:

WPIEA0381990
ISBN:

9781451977516
ISSN:

1018-5941

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