I mercati dei BTP e dei CCT a confronto: un’indagine econometrica - Medium and Long Term Treasury Bonds Markets: An Econometric Analysis

In the Italian experience, the role played by short-term Treasury bonds the financing of the public deficit seems to he more relevant than in other industrialized countries. This circumstance means that practical problems arise in the public debt management. These difficulties can be fruitfully analyzed and somewhat « optimized » with the help of a short-run econometric model of monetary and financial markets. In this essay, results obtained estimating a group of equations concerning the market of medium- and long-term Treasury bonds are presented. More particularly, both the quantities of bonds supplied by the Treasury and the quantities demanded and actually acquired by the private sector, the interventions of the Central Bank in the primary and secondary markets and interest rate are included in the monthly model here used. The results show, inter alia, the dependence of portfolio choices by some often neglegted variables, particularly in applied works. More specifically, the differential between expected inflation in the short run and in the long run and the uncertainty concerning the future evolution of the economy seem to significantly affect the decisions on the allocation of savings between fixed interest rate bonds and indexed bonds Business survey data are extensively used to estimate the model.