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- W2008509138 abstract "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." @default.
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- W2008509138 date "2005-07-22" @default.
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- W2008509138 title "The Cost Effectiveness of the UK's Sovereign Debt Portfolio*" @default.
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- W2008509138 doi "https://doi.org/10.1111/j.1468-0084.2005.00128.x" @default.
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