NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Alessandro Missale

Dip. di Economica Politica e Aziendale
Via Conservatorio 7
20122 Milano, Italy

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NBER Working Papers and Publications

March 2004Public Debt Management in Brazil
with Francesco Giavazzi: w10394
This paper derives the optimal composition of the Brazilian public debt by looking at the relative impact of the risk and cost of alternative debt instruments on the probability of missing the stabilization target. This allows to price risk against the expected cost of debt service and thus to find the optimal combination along the trade off between cost and risk minimization. The optimal debt structure is a function of the expected return differentials between debt instruments, of the conditional variance of debt returns and of their covariances with output growth, inflation, exchange-rate depreciation and the Selic rate. We estimate the relevant covariances by: i) exploiting the daily survey of expectations; ii) simulating a small structural model of the Brazilian economy under different...

Published: Giavezzi, Francesco, Ilan Goldfajn and Santiago Herrera (eds.) Inflation Targeting, Debt, and the Brazilian Experience, 1999 to 2003. Cambridge: MIT Press, 2005.

December 1997Managing the Public Debt in Fiscal Stabilizations: The Evidence
with Francesco Giavazzi, Pierpaolo Benigno: w6311
This paper provides evidence on the behavior of public debt managers during fiscal" stabilizations in OECD countries over the last two decades. We find that debt maturity tends to" lengthen the more credible the program, the lower the long-term interest rate and the higher the" volatility of short-term interest rates. We show that this debt issuing strategy is consistent with" optimal debt management if information between the government and private investors is" asymmetric, as is usually the case at the outset of a stabilization attempt when private investors" may lack full confidence in the announced budget cuts.

Published: Published as "Managing the Public Debt: The Optimal Taxation Approach", JES, Vol. 11, no. 3 (September 1997): 235-265.

December 1991The Debt Burden and Debt Maturity
with Olivier Jean Blanchard: w3944
At low and moderate levels of government debt, there appears to be little relation between the level of debt and its maturity. But at high levels of debt, a strong inverse relation emerges. We start the paper by documenting this inverse relation for those OECD Countries which have reached very high levels of debt. We then provide a theory of the joint movements of debt and maturity which can explain both sets of facts. It is based on the idea that, at high levels of debt, the government may need to decrease the maturity of the debt as debt increases, in order to maintain the credibility of its anti-inflation stance.

Published: American Economic Review, 84-1, March 1994, pp. 309-319. citation courtesy of

 
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