The cost effectiveness of the UK's sovereign debt portfolio

Patrick J. Coe; M. Hashem Pesaran; Shaun P. Vahey

doi:10.1111/j.1468-0084.2005.00128.x

The cost effectiveness of the UK's sovereign debt portfolio

Patrick J. Coe^*, M. Hashem Pesaran, Shaun P. Vahey

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

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.

Original language	English
Pages (from-to)	467-495
Number of pages	29
Journal	Oxford Bulletin of Economics and Statistics
Volume	67
Issue number	4
DOIs	https://doi.org/10.1111/j.1468-0084.2005.00128.x
Publication status	Published - Aug 2005
Externally published	Yes

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Cite this

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The cost effectiveness of the UK's sovereign debt portfolio

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