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dc.contributor.authorBolder, David Jamiesonen_US
dc.contributor.authorRubin, Tiagoen_US
dc.date.accessioned2011-12-15T12:55:41Z-
dc.date.available2011-12-15T12:55:41Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/53776-
dc.description.abstractThe stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form. Including optimization in the debt-strategy model would be useful, since it could substantially broaden the range of policy questions that can be addressed. Finding such an optimal strategy is nonetheless complicated by two challenges. First, performing optimization with traditional techniques in a simulation setting is computationally intractable. Second, it is necessary to define precisely what one means by an optimal” debt strategy. The authors detail a possible approach for addressing these two challenges. They address the first challenge by approximating the numerically computed objective function using a function-approximation technique. They consider the use of ordinary least squares, kernel regression, multivariate adaptive regression splines, and projection-pursuit regressions as approximation algorithms. The second challenge is addressed by proposing a wide range of possible government objective functions and examining them in the context of an illustrative example. The authors' view is that the approach permits debt and fiscal managers to address a number of policy questions that could not be fully addressed with the current stochastic simulation engine.en_US
dc.language.isoengen_US
dc.publisherBank of Canada Ottawaen_US
dc.relation.ispartofseriesBank of Canada Working Paper 2007,13en_US
dc.subject.jelC0en_US
dc.subject.jelC14en_US
dc.subject.jelC15en_US
dc.subject.jelC51en_US
dc.subject.jelC52en_US
dc.subject.jelC61en_US
dc.subject.jelC65en_US
dc.subject.jelE6en_US
dc.subject.jelG1en_US
dc.subject.jelH63en_US
dc.subject.ddc330en_US
dc.subject.keywordDebt managementen_US
dc.subject.keywordEconometric and statistical method sen_US
dc.subject.keywordFiscal policyen_US
dc.subject.keywordFinancial marketsen_US
dc.subject.stwÖffentliche Schuldenen_US
dc.subject.stwStrategisches Managementen_US
dc.subject.stwFinanzpolitiken_US
dc.subject.stwÖkonometrieen_US
dc.subject.stwSimulationen_US
dc.titleOptimization in a simulation setting: Use of function approximation in debt strategy analysisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn529594706en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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