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By Organisation for Economic Co-Operation a

ISBN-10: 9264104410

ISBN-13: 9789264104419

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Duration targets or limits). g. a currency target, most commonly). Other countries look to VaR or cost-at-risk, sometimes with a view to their sensitivity relative to yield curve shifts. Most countries employ some form of derivatives for risk management purposes, with swaps serving as the most common derivative type. A solid majority of the countries which manage market risk use swaps. 2. OVERVIEW OF RISK MANAGEMENT PRACTICES IN OECD COUNTRIES swaps. Forwards are used by relatively few countries, while futures and options are little used.

In addition, the “opportunity cost” of government debt strategies can be assessed via market value evaluation. g. when the debt is financed by long-term borrowing and interest rates fall), measures the effect of the interest being fixed and the central government therefore being unable to benefit from lower market interest rates. If the fall in interest rates is permanent, the budgetary effect will be seen every year until maturity of the bond, whereas the market value would show immediately the discounted effect over the remaining life of the bond.

For example, an equation could describe the link between economic growth and the yield curve, while another could specify the link between the budget balance and economic growth. The structural relationship between the yield curve and the budget balance would then be derived on the basis of these two structural equations. 3. ANALYTICAL FRAMEWORK FOR DEBT AND RISK MANAGEMENT effects of the debt strategy. In practice, budget smoothing effects are examined by simulating debt-service costs-to-GDP. GDP can be interpreted as a measure of the government’s budget situation, since the budget normally co-varies with GDP via both taxes and expenditures.

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