The Risk Premiumon Italian Government Debt, 1976-1988
April 1, 1990
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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
Pages:
42
Volume:
1990
DOI:
Issue:
038
Series:
Working Paper No. 1990/038
Stock No:
WPIEA0381990
ISBN:
9781451977516
ISSN:
1018-5941
