Exploring the Performance of Government Debt Issuance

35 Pages Posted: 2 Jan 2013

See all articles by Alexander Eisl

Alexander Eisl

Vienna University of Economics and Business

Hermann Elendner

Humboldt University of Berlin - School of Business and Economics

Stefan Pichler

WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics; VGSF (Vienna Graduate School of Finance)

Date Written: January 2, 2013

Abstract

The financial performance of governments in issuing debt is an open empirical question. We develop performance measures for the decisions debt management offices (DMOs) 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 our measures to assess DMOs' issuance strategies with respect to prevailing market rates, their country's credit spread, or the mispricing between primary and secondary markets. With a single exception, we find no ability to outperform secondary markets. We do find evidence of increased volatility. Most importantly, Austria, France, and Italy time primary-market effects negatively: While not underpricing issues severely, they allot more volume on dates of higher underpricing compared to other DMOs. Thus, although government issuance shows no strong impact on secondary markets, DMOs need to take primary-market effects into account.

Keywords: government debt, issuance, timing effect, allocation effect

JEL Classification: H63, G1, E4, C1

Suggested Citation

Eisl, Alexander and Elendner, Hermann and Pichler, Stefan, Exploring the Performance of Government Debt Issuance (January 2, 2013). Available at SSRN: https://ssrn.com/abstract=2195547 or http://dx.doi.org/10.2139/ssrn.2195547

Alexander Eisl

Vienna University of Economics and Business ( email )

Heiligenstadter-Strasse 46-48
Vienna, Wien A-1190
Austria

Hermann Elendner (Contact Author)

Humboldt University of Berlin - School of Business and Economics ( email )

Spandauer Str. 1
Berlin, D-10099
Germany

Stefan Pichler

WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics ( email )

Heiligenstaedter Strasse 46-48
Wien 1190
Austria

VGSF (Vienna Graduate School of Finance) ( email )

Heiligenstaedter Strasse 46-48
Vienna, 1190
Austria

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