An econometrical analysis of the debt market in Albania

Abstract

The paper provides an overview of the debt instruments marketed in Albania, where the highest share is outlined by treasury bills with short term maturities. The paper provides the database construction profile, econometric models applied to process the data into summarized information. The models include the role the banking system plays and should perform in this regard. The econometrical analysis uses a multiple linear regression, attempting to delineate the interrelationship amongst the discount/interest rate on 3-month tenure T-bill, the inflation rates, and the Central Bank interest rates and the budget deficit magnitude. The analysis and the respective statistical tests support the hypothesis about the strong correlation and consistent trend of a sustainable relationship of all above mentioned factors. The work includes some finding and recommendations for debt management techniques and governmental policies the Albanian authorities should undertake regarding the wideness of financial market participants in Albania, alternate opportunities and sound approaches ensuring the achievement of European standards.