Optimization models for public debt management

Download
2009
Alver, Mustafa Uğur
Management of public debt is crucial for every country. Public debt managers make efforts to both minimize the cost of borrowing and to keep debt stock at sustainable levels. However, due to competition for funds in the continuously changing and developing financial markets, new threats and opportunities appear constantly. Public debt managers construct borrowing policies in order to minimize the cost of borrowing and also to decrease risk by using various borrowing instruments. This thesis presents a mathematical model to determine the borrowing policy that minimizes the cost of borrowing in line with future projections and then seeks to extend it to construct risk sensitive policies that allow minimizing the effects of changes in the market on the cost of borrowing. The model’s application results for determining the borrowing strategies of Turkish Treasury for 100 month horizon have been evaluated through the study.

Suggestions

Multi-objective approaches to public debt management
Balıbek, Emre; Köksalan, Murat; Department of Operational Research (2008)
Public debt managers have a certain range of borrowing instruments varying in their interest rate type, currency, maturity etc. at their disposal and have to find an appropriate combination of those while raising debt on behalf of the government. In selecting the combination of instruments to be issued, i.e. the borrowing strategy to be pursued for a certain period of time, debt managers need to consider several objectives that are conflicting by their nature, and the uncertainty associated with the outcome...
Essays on procyclicality of fiscal policy and natural resource funds
Çiçekçi, Cumhur; Department of Economics (2021-9)
Fiscal policy in resource-rich economies, particularly with low institutional quality, faces some major challenges since their government expenditures depend on volatile resource income. Most of them have set up natural resource funds (NRFs) to clear away this dependency; however, the effectiveness of these funds is still under debate. Besides, large government expenditures financed by transfers from the funds are not sustainable and can entail serious risk for these economies. Hence, it is essential to inv...
Value of quality information of returns in product recovery management
Atabarut, Altan; Bayındır, Zeynep Pelin; Department of Industrial Engineering (2009)
Returned products of many industries are transported backwards through supply chains for recovery, thus forming “closed-loop supply chains”. Benefits, forthcoming with more effective management of recovery of returns are gaining importance. However, some issues, such as lack of information required to assess the quality of the returned products, may translate into critical uncertainties in the product recovery decisions and prevent closed-loop supply chains from operating efficiently. Hence, it is envisaged...
Predicting default probabilities in emerging markets by new conic generalized partial linear models and their optimization
Weber, Gerhard Wilhelm; Cavusoglu, Zehra; Ozmen, Ayse (2012-01-01)
Nowadays, the importance of financial crises and defaults of countries are becoming clear due to the globalization in the economic area and investments. Generalized partial linear model (GPLM) is a combination of two different regression models connecting with the mean of the dependent variable with the help of a link function. It is adequate to high-dimensional, non-normal data sets having the flexibility to reflect all anomalies effectively. The nonlinear patterns are also easily explained by the nonparam...
Sovereign wealth funds in the context of subordinate financialisation: the Turkey wealth fund in a comparative perspective
İpek, Ali Mert; Yalman, Galip.; Department of Political Science and Public Administration (2019)
As state-owned investment institutions, sovereign wealth funds (SWFs) are important actors in today’s global finance. In the last few decades, not only the total number of SWFs around the world increased dramatically, but also the total value of assets under management of SWFs reached considerable levels. Therefore, it is not surprising that there has been a proliferation of studies undertaken by scholars with a quest to make sense of these institutions, especially since the mid-2000s. The great majority of...
Citation Formats
M. U. Alver, “Optimization models for public debt management,” M.S. - Master of Science, Middle East Technical University, 2009.