Public Debt Maturity and Currency Crises

28 Pages Posted: 29 Jan 2008

See all articles by Paul Levine

Paul Levine

School of Economics, University of Surrey

Alex Mandilaras

University of Surrey

Date Written: 2007-02-01

Abstract

The theory underlying the effect of debt structure on the probability of a currency crisis and the slope of the yield curve was developed in Benigno and Missale (2004). In this paper, we provide the empirical evidence to support their model's predictions. In a dynamic panel data framework, we produce generalized method of moments estimates that give substantial support to the hypothesis that the role of short-term debt depends on how a devaluation affects the reputation of the policymaker and the real value of public debt. In addition to the empirical analysis, we generalize the theoretical framework to allow for the presence of non-deflatable debt and, for completeness, examine the case where the monetary authority can fully commit itself to an escape clause monetary rule.

Suggested Citation

Levine, Paul L. and Mandilaras, Alex, Public Debt Maturity and Currency Crises (2007-02-01). Scottish Journal of Political Economy, Vol. 55, Issue 1, pp. 79-106, February 2008. Available at SSRN: https://ssrn.com/abstract=1087482 or http://dx.doi.org/10.1111/j.1467-9485.2008.00444.x

Paul L. Levine (Contact Author)

School of Economics, University of Surrey ( email )

Guildford
Surrey GU2 7XH
United Kingdom
+44 1483 259 380 Ext. 2773 (Phone)
+44 1483 259 548 (Fax)

Alex Mandilaras

University of Surrey ( email )

Guildford
Guildford, Surrey GU2 5XH
United Kingdom

Register to save articles to
your library

Register

Paper statistics

Downloads
9
Abstract Views
299
PlumX Metrics