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Fiscal Insurance and Debt Management in OECD Economies

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  • Elisa Faraglia
  • Albert Marcet
  • Andrew Scott

Abstract

Assuming the role of debt management is to provide hedging against fiscal shocks we consider: ("i") what indicators can be used to assess the performance of debt management? ("ii") how well historical debt management policies have performed ("iii") how performance is affected by variations in debt issuance, using OECD data between 1970 and 2000. We propose performance indicators for debt management, which we evaluate using Monte Carlo analysis. Those based on the relative persistence of debt perform best. There is only limited evidence that debt management has helped insulate policy against unexpected fiscal shocks. The degree of fiscal insurance achieved is not well connected to cross-country variations in debt issuance patterns. Copyright � 2008 The Author(s).

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0297.2007.02125.x
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Bibliographic Info

Article provided by Royal Economic Society in its journal The Economic Journal.

Volume (Year): 118 (2008)
Issue (Month): 527 (03)
Pages: 363-386

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Handle: RePEc:ecj:econjl:v:118:y:2008:i:527:p:363-386

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Cited by:
  1. Albert Marcet & Andrew Scott, 2003. "Debt and Deficit Fluctuations and the Structure of Bond Markets," Working Papers 171, Barcelona Graduate School of Economics.
  2. Holler, Johannes, 2013. "Funding Strategies of Sovereign Debt Management: A Risk Focus," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 51–74.
  3. Elisa Faraglia & Albert Marcet & Andrew Scott, 2012. "Debt management and optimal fiscal policy with long bonds," BIS Papers chapters, in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 177-212 Bank for International Settlements.
  4. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
  5. Faraglia, Elisa & Marcet, Albert & Scott, Andrew, 2010. "In search of a theory of debt management," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 821-836, October.
  6. Hans J. Blommestein & Anja Hubig, 2012. "A Critical Analysis of the Technical Assumptions of the Standard Micro Portfolio Approach to Sovereign Debt Management," OECD Working Papers on Sovereign Borrowing and Public Debt Management 4, OECD Publishing.
  7. Hans J Blommestein & Anja Hubig, 2012. "Is the standard micro portfolio approach to sovereign debt management still appropriate?," BIS Papers chapters, in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 141-155 Bank for International Settlements.

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