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

15 Pages Posted: 26 Mar 2020

See all articles by Mattia Landoni

Mattia Landoni

Federal Reserve Banks - Federal Reserve Bank of Boston

Winthrop Smith

Wells Fargo

Christopher Cameron

U.S. Department of the Treasury

Date Written: February 29, 2020

Abstract

We characterize the long-run stable maturity distribution induced by a fixed issuance policy, defined as the maturity mix of new issues, thereby providing a method to link issuance policies with their long-run consequences. We derive closed-form expressions for a new class of forward-looking stable metrics, including per-period refinancing need, debt service cost, and average maturity — an indicator of the supply of long-term bonds. We use these metrics to provide a normative analysis of the classical debt-management trade-off between refinancing risk and debt service cost. Our results indicate that the US Treasury could move closer to the “efficient frontier” by tilting its issuance towards notes.

Keywords: Debt Management, Debt Maturity, Refinancing Risk, Government Debt

JEL Classification: E62, G32, H63

Suggested Citation

Landoni, Mattia and Smith, Winthrop and Cameron, Christopher, Online Appendix to 'Linking Policy to Outcomes: A Simple Framework for Debt Maturity Management' (February 29, 2020). SMU Cox School of Business Research Paper No. 20-02, Available at SSRN: https://ssrn.com/abstract=3547079 or http://dx.doi.org/10.2139/ssrn.3547079

Mattia Landoni (Contact Author)

Federal Reserve Banks - Federal Reserve Bank of Boston ( email )

600 Atlantic Avenue
Boston, MA 02210
United States

Winthrop Smith

Wells Fargo ( email )

1700 Lincoln St
Denver, CO 80203
United States
3038832535 (Phone)

Christopher Cameron

U.S. Department of the Treasury ( email )

1500 Pennsylvania Avenue
Washington, DC 20220
United States

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