Is Foreign Debt Portfolio Management Efficient in Emerging Economies?

IMF Working Papers, August 1, 2001

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Develops a simple model of foreign debt portfolio management.
Model implication: under mild conditions, the currency composition of a country's foreign debt portfolio is responsive to exchange rate movements.

Panel of 14 emerging economies.
Sample period: 1970-98.
Focus on stocks of foreign liabilities denominated in U.S. dollars, deutsche marks (DM), Japanese yen, and Swiss francs.
Pages: 23; Volume: 2001; Issue: 121; Series: Working Paper No. 2001/121; Stock No: WPIEA1212001; ISBN: 9781451854381; ISSN: 1018-5941; DOI: https://doi.org/10.5089/9781451854381.001.

Foreign debt portfolio management has been sub-optimal in the countries examined.
The currency composition of foreign debt has not reflected a substitution effect away from the currencies that have appreciated over time vis-à-vis the U.S. dollar.

Subjects: Asset and liability management; Currencies; Debt management; Exchange rates; External debt; Foreign exchange; Government debt management; Money; Public financial management (PFM).
Keywords: Asia and Pacific; Central America; Central and Eastern Europe; Currencies; Debt management; debt share; deutsche mark; emerging economies; exchange rate movement; exchange rates; Foreign debt; Global; Government debt management; portfolio management; portfolio manager; U.S. dollar; WP.

IMF Working Paper: "Is Foreign Debt Portfolio Management Efficient in Emerging Economies?" by Khaled Hussein, Working Paper No. 2001/121.

Is Foregin Debt Portfolio Management Efficient in Emerging Economies? - WP/01/120
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