Managing the maturity structure of government debt

• 成果类型: Article
• 署名作者: Shin, Yongseok
• 署名单位: University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.06.003
• 发表日期: 2007
• 页码: 1565-1571
• 关键词: Government debt; optimal maturity structure

摘要

It is known that a government can implement the optimal complete-market Ramsey allocations by issuing non-contingent bonds of different maturities. The implied optimal maturity structure is time- and state-invariant- i.e. it is not actively managed. I construct a model where the Ramsey allocations can be implemented with active management of the maturity structure. In a numerical example that reflects the time-series properties of the British government's expenditure during the 18th century, its historic pattern of maturity management is replicated. (c) 2006 Elsevier B.V. All rights reserved.