BeschreibungThe performance of governments in issuing debt is despite its importance for ﬁnance and welfare empirically an open question. While corporate ﬁnance has studied issuance timing extensively, research about skill of debt management offices (DMOs) in auctioning national debt is lacking. 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). Thereby DMOs can optimise over prevailing market rates, or spreads, or the deviation between primary and secondary market rates.
For a unique dataset we benchmark the issuance strategies of ﬁve European DMOs. While we ﬁnd no outperformance over 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 appear to affect the secondary market, DMOs should take primary market eﬀects into account.
|Zeitraum||10 Mai 2010 → 12 Mai 2010|
|Ereignistitel||Association Française de Finance 2010 Spring Conference|
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