Lessons from the Russian Crisis of 1998 and Recovery. Brian Pinto, Evsey Gurvich and Sergei Ulatov Draft Chapter for: Managing Economic Volatility and Crises: A Practitioner’s Guide Edited by Joshua Aizenman and Brian Pinto. Related papers.
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Brian Pinto, Evsey Gurvich and Sergei Ulatov
Draft Chapter for:
Managing Economic Volatility and Crises:
A Practitioner’s Guide
Edited by Joshua Aizenman and Brian Pinto
on August 14
share of domestic currency debt in total debt
real interest rate on domestic currency debt
real interest rate paid on foreign currency debt (e.g., interest
rate paid by government on US dollar borrowing adjusted
for US inflation)
% change in dollar-ruble real exchange rate
> 0 means a real appreciation)Public Debt Dynamics (cont’d)
This brings us to equation (2), which contains an
expanded version of the composite real interest rate, r:
Yields on one-year GKOs were decomposed using equation (3) to get the sovereign or default risk premium (SRP) and devaluation risk premium (DRP) as a residual.
(3) id = if + SRP + (dx/x)* + DRP
Three factors played a role: