The cost effectiveness of the UK's sovereign debt portfolio
By: Coe, Patrick J.
Contributor(s): Vahey, Shaun P | Pesaran, M. Hashem.
Material type:
ArticlePublisher: 2005Description: p.467-95.Subject(s): Public debt - Great Britain | Cost effectiveness - Great Britain | Cost effectiveness
In:
Oxford Bulletin of Economics and StatisticsSummary: 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.
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Articles
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Indian Institute of Public Administration | Volume no: 67, Issue no: 4 | Available | AR67470 |
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.
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