Coe, Patrick J. <br/><br/>
The cost effectiveness of the UK's sovereign debt portfolio 

 -  2005 
 - p.467-95. 
 - Aug 
<br/><br/> 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. 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Public debt - Great Britain<br/>Cost effectiveness - Great Britain<br/>Cost effectiveness