2013 | OriginalPaper | Buchkapitel
Joint modeling of yield curve shape and dynamics: An empirical validation of term structure simulations for long-term government debt management
verfasst von : Anja Hubig
Erschienen in: Introduction of a New Conceptual Framework for Government Debt Management
Verlag: Springer Fachmedien Wiesbaden
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The success of the debt management strategy to achieve the lowest possible long-term borrowing costs is largely determined by the evolution of the term structure of interest rates over the respective horizon. That is why we regard the postulated dynamics as a key factor in the optimization process. The current environment characterized by high uncertainty about future interest rates
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poses substantial challenges for debt managers to model the development of the yield curve.