Turkish Treasury Simulation Model for Debt Strategy Analysis

Abstract

The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent. Policy Research Working Paper 6091Governments raise funds to meet their financing needs using a range of fixed income securities and loans with different maturities, interest rates, and exchange rate structures. Public debt managers need to consider various policy objectives when deciding on the structure of the public liability portfolio. This paper describes a simulation model developed at the Turkish This paper is a product of the Turkish Treasury, supported by the Financial Advisory and Banking Department, World Bank. It is part of a larger effort by the World Bank to provide open access to its research and make a contribution to development policy discussions around the world.

Optimizing the Hungarian Government Debt Portfolio

“…Consequently, the purpose of the model is to help the Hungarian Government Debt Management Agency in creating a medium term (5 years) debt management strategy.Several countries have developed stochastic optimal portfolio models for debt management purposes. Notable examples include Canada (Bolder and Deeley, 2011), Italy (Adamo et al, 2004;Consiglio and Staino, 2012), Sweden (Bergström et al, 2002), Turkey (Balibek and Memis, 2012) and the United Kingdom (Pick and Anthony, 2006).…”