Quotation Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2010. Exploring the Performance of Government Debt Issuance. European Financial Management Association 19th Meeting, Århus, Dänemark, 23.06.-26.06..


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Abstract

The performance of governments in issuing debt is despite its importance for finance and welfare empirically an open question. Issuance timing in corporate finance and auction design have been studied extensively, yet skill of debt management offices (DMOs) in auctioning off national debt remain unexplored. We thus develop performance measures for the decisions the offices face: The amount to issue is largely exogenous to them, but they exercise discretion over its distribution across issue dates (timing) and the choice of instruments (allocation). DMOs can thereby optimise over prevailing market rates, their country's spread, or the mispricing between primary and secondary markets. For a unique dataset we benchmark the issuance strategies of five European DMOs. While we find no ability to outperform secondary market rates, Germany appears to time primary market effects favourably: Although it cannot, on average, overprice issues, it allots more on dates of low underpricing, compared to other DMOs. Thus, while the government issues do not exhibit strong effects on the secondary market, DMOs are well advised to take primary market effects into account.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title Exploring the Performance of Government Debt Issuance
Event European Financial Management Association 19th Meeting
Year 2010
Date 23.06.-26.06.
Country Denmark
Location Århus
URL http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2010-Aarhus/2010meetings.shtml

Associations

Projects
PhD Programm: Vienna Graduate School of Finance
People
Eisl, Alexander (Details)
Elendner, Hermann (Former researcher)
Pichler, Stefan (Details)
Organization
Research Institute for Computational Methods FI (Details)
Institute for Financial Research IN (Details)
Institute for Finance, Banking and Insurance IN (Details)
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