Currency Redenomination Risk

IF 3.9 2区经济学 Q1 Economics, Econometrics and Finance

Journal of Financial and Quantitative Analysis Pub Date : 2023-07-19 DOI:10.1017/s002210902300087x

Lukas Kremens

引用次数: 0

Abstract

A eurozone exit or breakup exposes bondholders to currency redenomination risk. I quantify redenomination risk since the sovereign debt crisis: It contributes substantially to credit spreads around changes in government in France and Italy. Bond prices suggest that markets have priced a potential Italian exit as isolated, and a French one as a breakup. Unlike conventional default risk, redenomination risk can be negative depending on the strength of the national “shadow” currency. Countries with strong shadow currencies earn breakup-insurance premia from the eurozone analog of “exorbitant privilege.” Yield effects are quantitatively large for implied exit probabilities as low as 1%.

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货币重新兑换风险

欧元区退出或解体会使债券持有人面临货币重新计价的风险。我量化了主权债务危机以来的重新计价风险：它对法国和意大利政府更迭前后的信用利差有重大影响。债券价格表明，市场已将意大利的潜在退出定价为孤立，而将法国的退出定价为解体。与传统的违约风险不同，重新计价风险可能是负面的，这取决于国家 "影子 "货币的强弱。影子货币强势的国家可从欧元区类似的 "高昂特权 "中赚取解体保险溢价。隐含退出概率低至 1%时，收益率效应在数量上很大。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial and Quantitative Analysis Multiple-

CiteScore

6.60

自引率

5.10%

发文量

131

期刊介绍： The Journal of Financial and Quantitative Analysis (JFQA) publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital and security markets, and quantitative methods of particular relevance to financial researchers. With a circulation of 3000 libraries, firms, and individuals in 70 nations, the JFQA serves an international community of sophisticated finance scholars—academics and practitioners alike. The JFQA prints less than 10% of the more than 600 unsolicited manuscripts submitted annually. An intensive blind review process and exacting editorial standards contribute to the JFQA’s reputation as a top finance journal.