Introduction of a New Conceptual Framework for Government Debt Management : With a Special Emphasis on Modeling the Term Structure Dynamics

Online-Ressource (XXIV, 213 p. 45 illus, digital)

Includes bibliographical references

Vorwort der Herausgeber; Foreword; Acknowledgements; Contents; List of Abbreviations and Variables; List of Figures; List of Tables; 1 Introduction; 1.1 Objective of the study; 1.2 Current practices in government debt management; 1.2.1 The DMO perspective; 1.2.2 Government debt management objectives; 1.2.3 The debt management process; 1.2.4 Interactions to the macroeconomic framework; 1.3 Outline of the study; 2 Is the standard micro portfolio approach to sovereigndebt management still appropriate? A critical analysisof the underlying analytical framework; 2.1 Introduction

2.2 The analytical roots of the standard micro portfolio approach2.3 Technical conditions underlying the micro portfolio strategy; 2.4 An extended analytical financing framework and associated cost measures; 2.4.1 Terms and definitions; 2.4.2 Decisions under certainty; 2.4.3 Decisions under uncertainty and risk; 2.4.4 Limitations of the standard micro portfolio approach; 2.4.5 Introduction of a broader cost measure; 2.4.6 An illustrative numerical example; 2.5 Empirical validity of technical assumptions of the standard approach

2.5.1 Evaluation of assumptions under normal conditions (World 1)2.5.2 Evaluation of assumptions under crisis conditions (World 2); 2.6 Concluding remarks; 2.7 Acknowledgements; 3 From corporate to public finance: A new application of the capital budgeting approach to sovereign debt management; 3.1 Introduction; 3.2 Adapting the capital investment methodology to the DMO context; 3.2.1 Analytical framework: basic concepts and assumptions; 3.2.2 Applicability of the capital budgeting approach for DMOs; 3.3 A public finance framework for long-term sovereign funding decisions

3.3.1 An extended approach3.3.2 Remarks to modeling the term structure dynamics; 3.3.3 Managing uncertain economic assumptions; 3.3.4 Links to fiscal stability and sustainability; 3.4 Recommendations for broader debt management objectives; 3.4.1 Comparison to currently discussed approaches; 3.4.2 Accountability aspects and debt management objectives; 3.5 Concluding remarks; 4 Use of orthogonal polynomials to describe the shapeand dynamics of the term structure of interest ratesfor the purpose of government debt management; 4.1 Introduction

4.2 Discussion of existing empirical term structure models4.3 An approach based on orthonormalized Legendre polynomials; 4.4 Empirical results for the term structure estimation; 4.4.1 Data and estimation procedure; 4.4.2 Sensitivity of the time scale parameter α on the yield curve fit; 4.4.3 Goodness-of-fit statistics (individual parameter models); 4.4.4 Statistical efficiency (individual parameter models); 4.4.5 Determination of pricing errors (seven-factor models); 4.4.6 Yield curve coefficient statistics (seven-factor Legendre model); 4.5 Summary and concluding remarks; Appendix

A.1 Mathematical derivation of the orthogonal basis functions

10.1007/978-3-658-00918-2 [DOI]

ECONIS - Online Catalogue of the ZBW