Linking Policy to Outcomes: A Simple Framework for Debt Maturity Management

46 Pages Posted: 10 Jan 2019

See all articles by Mattia Landoni

Mattia Landoni

Southern Methodist University (SMU) - Finance Department

Winthrop Smith

Win Analytics LLC

Date Written: December 28, 2018

Abstract

We characterize the long-run stable maturity distribution induced by a fixed issuance policy, defined as the maturity mix of new issues. We derive closed-form expressions for a new class of forward-looking stable metrics, including average maturity, per-period refinancing need, and debt service cost. We use these metrics to provide a normative analysis of two debt-management tradeoffs: the classic one between cost and refinancing risk, and the nonconventional one between quantitative easing and refinancing risk. Our results indicate that the US Treasury should consider tilting its issuance towards notes. We also use our framework to trace a simple but novel summary of recent United States issuance history.

Keywords: debt management, debt maturity, refinancing risk, quantitative easing

JEL Classification: E62, G32, H63

Suggested Citation

Landoni, Mattia and Smith, Winthrop, Linking Policy to Outcomes: A Simple Framework for Debt Maturity Management (December 28, 2018). Available at SSRN: https://ssrn.com/abstract=3300347 or http://dx.doi.org/10.2139/ssrn.3300347

Mattia Landoni (Contact Author)

Southern Methodist University (SMU) - Finance Department ( email )

United States

Winthrop Smith

Win Analytics LLC ( email )

9912 W Athens Lane
Littleton, CO 80127
3038832535 (Phone)

HOME PAGE: http://www.winanalytics.com

Register to save articles to
your library

Register

Paper statistics

Downloads
22
Abstract Views
214
PlumX Metrics