| 000 -LEADER |
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01257pab a2200205 454500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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180718b2005 xxu||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Coe, Patrick J. |
| 245 ## - TITLE STATEMENT |
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| Title |
The cost effectiveness of the UK's sovereign debt portfolio |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. |
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| Date of publication, distribution, etc. |
2005 |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
p.467-95. |
| 362 ## - DATES OF PUBLICATION AND/OR SEQUENTIAL DESIGNATION |
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| Dates of publication and/or sequential designation |
Aug |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
This paper provides a recursive empirical analysis of the scope for cost minimization in public debt management when the debt manager faces a given short-term interest rate dictated by monetary policy as well as risk and market impact constraints. It simulates the `real-time' interest costs of alternative portfolios for UK government debt between April 1985 and March 2000. These portfolios are constructed using forecasts of return spreads based on a recursive modelling procedure. While we find statistically significant evidence of predictability, the interest cost savings are quite small when portfolio shares are constrained to lie within historical bounds. - Reproduced. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Public debt - Great Britain |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Cost effectiveness - Great Britain |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Cost effectiveness |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Vahey, Shaun P. |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Pesaran, M. Hashem |
| 773 ## - HOST ITEM ENTRY |
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| Main entry heading |
Oxford Bulletin of Economics and Statistics |
| 909 ## - |
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| -- |
67014 |
