| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25808 |
| 来源ID | Working Paper 25808 |
| Debt-Maturity Management with Liquidity Costs | |
| Saki Bigio; Galo Nuño; Juan Passadore | |
| 发表日期 | 2019-05-06 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We characterize the optimal debt-maturity management problem in the presence of liquidity costs. A government issues an arbitrary number of finite-maturity bonds and faces income and interest-rate risk, which can tempt it to default. Optimal issuances are spread out across maturities and are given by the ratio of a value gap over a liquidity coefficient that measures the price impact. The value gap is the proportional difference between the bond prices obtained by discounting with the international interest rates and with the domestic discount factor. This characterization allows us to quantify the contribution of different economic forces—impatience, yield-curve riding, expenditure smoothing, self-insurance, credit risk, and default incentives—in shaping the optimal debt maturity distribution. In an application, we estimate the liquidity coefficients using Spanish debt auction data and exploit the framework to evaluate Spanish debt management practices. |
| 主题 | International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25808 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583481 |
| 推荐引用方式 GB/T 7714 | Saki Bigio,Galo Nuño,Juan Passadore. Debt-Maturity Management with Liquidity Costs. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25808.pdf（1133KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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