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The Market Value of Italian Government Debt, 1970-1996

Author

Listed:
  • Riccardo Fiorito

    (University of Siena)

  • Lorenzo Pecchi

    (MCC and University of Tor Vergata, Rome)

  • Giorgio Valente

    (University of Leicester)

Abstract

The market value of outstanding government debt is calculated on a quarterly basis for the period 1970–96 using information from official sources. Individual series are provided for government bonds (BTPs), Treasury bills (BOTs), and floating-rate notes CCTs) at par and market value. The calculated market-value series are analyzed and compared with the par-value series. The two series share a common trend but differ at the cyclical frequencies. We also compute quarterly time series for the weighted average time-to-maturity as well as the weighted average Macaulay duration of outstanding government debt. Our findings suggest that it may be appropriate to use market values instead of par value series for estimating behavioral functions relating government financing and private decisions.

Suggested Citation

  • Riccardo Fiorito & Lorenzo Pecchi & Giorgio Valente, 2002. "The Market Value of Italian Government Debt, 1970-1996," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 61(1), pages 1-28, June.
    • Handle: RePEc:gde:journl:gde_v61_n1_p1-28
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    References listed on IDEAS

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    More about this item

    Keywords

    government debt; debt at market value; debt management;
    All these keywords.

    JEL classification:

    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • H6 - Public Economics - - National Budget, Deficit, and Debt

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