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The Cost Effectiveness of the UK's Sovereign Debt Portfolio.
- Source :
- Oxford Bulletin of Economics & Statistics; Aug2005, Vol. 67 Issue 4, p467-495, 29p, 6 Charts, 4 Graphs
- Publication Year :
- 2005
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
- Subjects :
- COST effectiveness
DEBT
PORTFOLIO management (Investments)
FINANCIAL management
Subjects
Details
- Language :
- English
- ISSN :
- 03059049
- Volume :
- 67
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Oxford Bulletin of Economics & Statistics
- Publication Type :
- Academic Journal
- Accession number :
- 17637286
- Full Text :
- https://doi.org/10.1111/j.1468-0084.2005.00128.x