The Risk Premiumon Italian Government Debt, 1976-1988
IMF Working Papers, April 1, 1990
Source details
- Canonical URL
- The Risk Premiumon Italian Government Debt, 1976-1988
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Bibliographic details
- Authors: Carlo Cottarelli, Mauro Mecagni
- Published: April 1, 1990
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451977516.001
Summary and main findings
- The paper analyzes the behavior of the yield differential between government and nongovernment bonds in Italy between 1976 and 1988.
- The trend increase of the yield differential observed in this period was significantly influenced by the deterioration of public finances.
- Deterioration of public finances is reflected by:
- an increase in the relative supply of government with respect to nongovernment paper, and
- a worsening of selected default risk indicators.
- 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 movements of the yield differential.
Subjects and keywords
- Subjects: 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