Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/75558 
Autor:innen: 
Erscheinungsjahr: 
2000
Schriftenreihe/Nr.: 
CESifo Working Paper No. 346
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
This paper presents an empirical analysis of the efficiency of the UK debt management authorities's (DMA) behaviour from a cost minimisation perspective over the period January 1985 to March 1995. During this period, the maturity structure of the government's bond portfolio was subject to frequent finetuning, aimed principally at lowering interest costs. We examine the efficiency of the DMA's behaviour from a cost minimisation perspective. Using a bi-variate version of the recursive modelling procedure applied to forecasting stock returns by Pesaran and Timmermann (1995, 2000), we show that bond returns are forecastable but the predictive power of macroeconomic variables is time dependent. We simulate the impact of adjusting the bond portfolio in response to our forecasts. The simulated average interest costs are lower than those resulting from the DMA's actual real-time behaviour. However, a substantial reduction in interest costs requires large monthly changes in the portfolio's maturity structure.
Schlagwörter: 
Government debt management
cost minimisation
recursive modelling
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
753.82 kB





Publikationen in EconStor sind urheberrechtlich geschützt.