Coe, Patrick J.; Pesaran, M. Hashem; Vahey, Shaun P. - In: Oxford Bulletin of Economics and Statistics 67 (2005) 4, pp. 467-495
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...