Is the standard micro portfolio approach to sovereign debt management still appropriate? A critical analysis of the underlying analytical framework
From corporate to public finance: A new application of the capital budgeting approach to sovereign debt management
Use of orthogonal polynomials to describe the shape and dynamics of the term structure of interest rates for the purpose of government debt management
Stochastic modeling of the term structure dynamics for the purpose of long-term government debt management: The theoretical framework
Joint modeling of yield curve shape and dynamics: An empirical validation of term structure simulations for long-term government debt management.
Against the background of the financial-cum-sovereign debt crisis, government debt managers are currently faced by a challenging environment. One key element in that respect is the analysis and forecast of interest rates, which is important for achieving the strategic objective of low borrowing costs. Anja Hubig develops a new mathematical method to estimate the term structure of interest rates, that is adopted to describe the term structure dynamics within a stochastic setting. The introduced model is capable to capture the complex behavior of the entire yield curve with a reduced set of parameters. It essentially ensures a comprehensive analysis of the costs and risks associated with individual funding strategies, and thus effectively supports the selection of a long-term optimal debt portfolio composition. (source: Nielsen Book Data) 9783658009175 20160615
This book studies the formal creation and the gradual change of the Stability and Growth Pact in the European Monetary Union (EMU). The book explains why and how the Pact was pushed through by Germany despite fierce opposition from the majority of member states. It provides a unique, in-depth analysis of how a new coalition of member states, including Germany, achieved a creeping reinterpretation of the rules which prepared the way for a formal reform of the Pact in 2005, ten years after its invention. Four case studies show why and how the margin of maneuver inherent in the Pact was used to accommodate the preferences of those governments which were in breach of the Pact, and explains how they managed to lower the costs of change. To analyze these formal and informal dynamics, the study develops a model of institutional change which focuses on the actors, their preferences, and the systemic intermediation of national preferences. This model is applicable to other policy fields in the. (source: Nielsen Book Data) 9783832924287 20160527
Aldershot, Hants, England ; Burlington, VT : Ashgate, 2003.
Book — xiv, 238 p. : ill. ; 23 cm.
Literature survey-- Tax and trade models-- Results from trade model-- Results from the tax model-- Summary and conclusion. Appendices: Mathematical appendix-- Data set-- Calibration and parameters-- Programming appendix-- India - a brief background.
(source: Nielsen Book Data)
India's tax revenues depend on manufacturing while agriculture and services generate employment. WTO's Uruguay and Doha rounds imply large tariff cuts. This affects the competitiveness of the Indian manufacturing sector and has implications for government deficits. Excessive dependence on indirect taxes and subsidies to regulate markets introduces distortions and is incompatible with free market principles. The book analyses welfare implications of fiscal and trade policies for India. To put the results in perspective, developments in trade theory, public finance and Computable General Equilibrium (CGE) modelling are covered. Theoretical results are juxtaposed with empirical findings from these models. Methodology to construct CGE models is also covered. The trade model covers tariff cuts under various assumptions besides incorporating "new trade theory". As tax reforms and tariff cuts are independent, past tax reforms like MODVAT (MODified VAT) and proposed reforms like VAT, elimination/reduction of subsidies are covered using a separate tax model. (source: Nielsen Book Data) 9780754634072 20160527
Introduction.- The basic deterministic macroeconomic model.- The basic stochastic macroeconomic model and the short-term interest rate dynamics.- Term structure of interest rates and fiscal policy.- Economic growth and fiscal policy.- Public debt dynamics.- Summary, conclusions and outlook on future research.- General
appendix 1: Brownian motion and stochastic integration.- General
appendix 2: Stochastic differential equations and diffusion processes.- General
appendix 3: Stochastic optimization and dynamic programming.
(source: Nielsen Book Data)
The book discusses the dynamic interactions between fiscal policy and financial markets in a setting of stochastic growth and general equilibrium. In so doing, two important strands of literature are integrated: macroeconomic dynamics and mathematical finance. This enables the development of the dynamics of important financial market variables completely within the model, thus freeing the analyst from arbitrarily assuming them. Moreover, it becomes possible to analyze the influence of fiscal policy on interest rate dynamics explicitly. The effect of the interest rate dynamics on the evolution of growth and the feedback effects between public debt and interest rate dynamics are also examined in detail. (source: Nielsen Book Data) 9783540662433 20160528