Debt Management and the Evolving Macroeconomy

This project examines a number of sovereign debt issues.  The work on cost minimisation (Coe, Pesaran and Vahey) adopts a recursive modelling approach, aimed at modelling the UK debt management authorities' behaviour in "real time".  The bond data set utilised for the sample period 1980-2000 (monthly) is available below and contains holding period returns, prices and quantities for UK conventional bonds (aggregated into short, medium and long maturity bands).  The paper by Coe, Vahey and Wakerly examines some transparency and accountability aspects of debt management.  The paper by Loukoianova, Vahey and Wakerly considers the appropriate level of debt via a tax-smoothing fiscal policy rule, using US real-time data.  (The UK real-time macro data set contained in Egginton, Pick and Vahey are also available below.) 

• "A Real Time Tax Smoothing Based Fiscal Policy Rule" 

Elena Loukoianova, Shaun P. Vahey, and Elizabeth C.Wakerly
• "Keep it Real!": A Real-time UK Macro Data Set 

Don M. Egginton, Andreas Pick and Shaun P. Vahey, September 2001 
• The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach Patrick Coe, M Hashem Pesaran and Shaun Vahey, May 2000 (DAE Working Paper No 0005). Tables . Figures . 
• The Transparency and Accountability of UK Debt Management: A Proposal Patrick Coe, Shaun Vahey and Elizabeth Wakerly, November 2000 (DAE Working Paper No 0028). 

• UK debt management data: Prices and quantities of conventional debt [ Excel-file ],  holding period returns [ Excel-file ] 
• UK Real Time Data Set 
• US Real Time Fiscal Data Set 

Sovereign Debt Management Offices 

• Commonwealth Department of the Treasury, Australia 
• Osterreichische Bundesfinanzierungsagentur (Austrian Federal Financing Agency) 
• Administration de la Tresorerie (Belgian Ministry of Finance, Federal Public Debt Department) 
• Tesouro Nacional (National Treasury Secretariat, Brazil) 
• Department of Finance, Canada 
• Nationalbank (Central Bank of Denmark) 
• Agentschap van het Ministerie van Financien (Dutch State Treasury Agency) 
• Valtiokonttori (Finnish State Treasury) 
• France Tresor (French Treasury) 
• Magyar Allamkincstar Allamadossag Kezelo Kozpont (Hungarian State Treasury, Government Debt Management Agency) 
• Ministero del Tesoro (Ministry of Treasury, Italy) 
• National Treasury Management Agency, Ireland 
• New Zealand Debt Management Office 
• Department of Finance, Philippines 
• Instituto de Gestao do Credito Publico (Portuguese Debt Agency) 
• National Treasury, South Africa 
• Riksgaldskontoret (National Debt Office, Sweden) 
• Debt Management Office, UK 
• Department of the Treasury, US 

• HM Treasury 
• Bank of England 
• International Monetary Fund 
• World Bank 



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