Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/53776 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorBolder, David Jamiesonen
dc.contributor.authorRubin, Tiagoen
dc.date.accessioned2011-12-15T12:55:41Z-
dc.date.available2011-12-15T12:55:41Z-
dc.date.issued2007-
dc.identifier.pidoi:10.34989/swp-2007-13en
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
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2007-13en
dc.subject.jelC0en
dc.subject.jelC14en
dc.subject.jelC15en
dc.subject.jelC51en
dc.subject.jelC52en
dc.subject.jelC61en
dc.subject.jelC65en
dc.subject.jelE6en
dc.subject.jelG1en
dc.subject.jelH63en
dc.subject.ddc330en
dc.subject.keywordDebt managementen
dc.subject.keywordEconometric and statistical method sen
dc.subject.keywordFiscal policyen
dc.subject.keywordFinancial marketsen
dc.subject.stwÖffentliche Schuldenen
dc.subject.stwStrategisches Managementen
dc.subject.stwFinanzpolitiken
dc.subject.stwÖkonometrieen
dc.subject.stwSimulationen
dc.titleOptimization in a simulation setting: Use of function approximation in debt strategy analysis-
dc.typeWorking Paperen
dc.identifier.ppn529594706en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:07-13en

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.