Exploring the Performance of Government Debt Issuance

Activity: Talk or presentationScience to science


The 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.
Period10 May 201012 May 2010
Event titleAssociation Française de Finance 2010 Spring Conference
Event typeUnknown
Degree of RecognitionInternational