Quotation Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2011. Exploring the Performance of Government Debt Issuance. Swiss Society for Financial Market Research, Zürich, Schweiz, 30.03.-30.03..




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 remains unexplored. We thus develop performance measures for the decisions the offices face: The amount to issue is largely exogenous to them, but they determine its distribution across issue dates (timing) and the choice of instruments (allocation). For a unique dataset of five European DMOs, we apply the measures to assess whether DMOs' issuance strategies are optimized successfully with respect to prevailing market rates, their country's spread, or the mispricing between primary and secondary markets. While we find no ability to outperform the secondary market, Austria and Italy appear to time primary-market effects unfavorably: While they do not, on average, underprice issues severly, they allot more on dates of high underpricing, compared to other DMOs who avoid this. Thus, while 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 Swiss Society for Financial Market Research
Year 2011
Date 30.03.-30.03.
Country Switzerland
Location Zürich
URL http://www.fmpm.org/docs/conference.htm


PhD Programm: Vienna Graduate School of Finance
Eisl, Alexander (Details)
Elendner, Hermann (Former researcher)
Pichler, Stefan (Details)
Research Institute for Computational Methods FI (Details)
Institute for Financial Research IN (Details)
Institute for Finance, Banking and Insurance IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
5300 Economics (Details)
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