Does debt management matter?
Clarendon Press, 1992 - Business & Economics - 155 pages
This third volume from the Swedish Trade Union Institute for Economic Research, FIEF, looks at the problems of debt management. In the mid-1970s, after the first oil crisis, many countries began to run larger deficits on government budgets than they had done earlier during the post-war period. This growth of government debt has occurred, concomitantly with a development, liberalization, and sophistication of capital markets. In fact, these latter events have probably been a prerequisite for the growing government indebtedness. The growth of public debt has stimulated the interest of academic economists. In recent years there has been discussion of the debt burden of underdeveloped countries and the neutrality of total government debt in more advanced economies. However, the possible effects of the management of a given debt on real capital formation via portfolio crowding-out or crowding-in has been relatively neglected. This is why this volume is fully devoted to the subject of how debt management influences the financial sector and elements of the 'real' economy such as output, capital formation, and consumption.
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The Portfolio Balance Approach to Debt Management
Implementing the Basic Model by Using Historical Data
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Agell and Persson aggregate analysis approach asset demand asset markets asset returns asset supplies assumption borrowing capital composition of government corporate bond corporate bond yield corporate equity corporate stock covariance matrix current asset prices data interval debt instruments debt management actions debt management operations debt management policy determination econometric economic activity effects of debt empirical endogenous equation equilibrium estimates exogenous expected returns financial markets Frankel Friedman government bonds government debt management historical household implies increase interest rates intertemporal investment investors issues Journal long-term bonds long-term debt Lucas critique Mats Persson maturity composition maturity structure ment monetary policy MPS model outstanding policy derivatives public debt quarterly data real yields relative asset yields relative risk aversion relevant Ricardian equivalence risk aversion Roley serial correlation short-term bonds short-term debt simulation stochastic stochastic processes substitutes term structure Tobin Treasury bill Treasury securities underlying variables variance-covariance matrix vector autoregression wealth effects