Fiscal insurance and debt management in OECD economies
Marcet, Albert
Faraglia, Elisa
Scott, Andrew
Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica
Institut d'Anàlisi Econòmica

Date: 2008
Description: 40 p.
Abstract: Assuming the role of debt management is to provide hedging against fiscal shocks we consider three questions: i) what indicators can be used to assess the performance of debt management? ii) how well have historical debt management policies performed? and iii) how is that performance affected by variations in debt issuance? We consider these questions using OECD data on the market value of government debt between 1970 and 2000. Motivated by both the optimal taxation literature and broad considerations of debt stability we propose a range of performance indicators for debt management. We evaluate these using Monte Carlo analysis and find that those based on the relative persistence of debt perform best. Calculating these measures for OECD data provides only limited evidence that debt management has helped insulate policy against unexpected fiscal shocks. We also find that the degree of fiscal insurance achieved is not well connected to cross country variations in debt issuance patterns. Given the limited volatility observed in the yield curve the relatively small dispersion of debt management practices across countries makes little difference to the realised degree of fiscal insurance.
Rights: Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat, la unitat i l'institut i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús Creative Commons
Language: Anglès
Series: Departament d'Economia i d'Història Econòmica. Unitat de Fonaments de l'Anàlisi Econòmica / Institut d'Anàlisi Econòmica (CSIC). Working papers
Series: Working papers ; 729.08
Document: Working paper
Subject: Deute ; Organització de Cooperació i Desenvolupament Econòmic, Països de l' ; Assegurances



40 p, 312.7 KB

The record appears in these collections:
Research literature > Working papers > Fundamentals Unit of the Economic Analysis. Working papers

 Record created 2009-07-15, last modified 2023-07-29



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