{
  "title": "Parameterizing Debt Maturity",
  "publication": "IMF Working Papers, April 23, 2021",
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  "summary": "This paper examines ways to summarize the maturity structure of public debts using a small number of parameters. We compile a novel dataset of all promised future payments for US and UK government debt from every month since 1869, and more recently for Peru, Poland, Egypt, and Nigeria.",
  "sections": [
    {
      "heading": "Overview",
      "content": "- Purpose: Examine ways to summarize the maturity structure of public debts using a small number of parameters.\n- Core contribution: Identification of a unique parametric form—portfolios of bonds with exponential coupons—that does not arbitrarily restrict debt issuance.\n- Scope: Analysis of historical and recent government debt for multiple countries to evaluate parametric descriptions of maturity."
    },
    {
      "heading": "Dataset and Method",
      "content": "- Novel dataset: All promised future payments for government debt compiled for:\n  - United States and United Kingdom from every month since 1869.\n  - More recent data for Peru, Poland, Egypt, and Nigeria.\n- Parametric approach: Portfolios of bonds with exponential coupons.\n- Comparison benchmark: The most popular alternative parametric form (unnamed here) is used for comparative accuracy."
    },
    {
      "heading": "Key Findings",
      "content": "- Accuracy:\n  - The exponential-coupon parametric form \"more accurately describes changes in debt maturity for these six countries\" compared to the most popular alternative.\n- Historical interpretation:\n  - The exponential-coupon form \"gives a quite different interpretation of historical debt maturity\" relative to the alternative.\n- Cross-country consistency:\n  - Parameter estimates are \"relatively similar across countries,\" enabling comparative analysis.\n- Applicability:\n  - The method can be applied to analyze past debt movements and to monitor changes in debt maturity where data are partial or incomplete."
    },
    {
      "heading": "Applications and Policy Implications",
      "content": "- Monitoring:\n  - Use the parametric form for ongoing monitoring of debt maturity structures, including in countries with incomplete data.\n- Analysis:\n  - Apply parameter estimates to reinterpret historical maturity patterns and to assess issuance practices without arbitrary restrictions.\n- Practical utility:\n  - Because parameter estimates show cross-country similarity, the approach supports comparative surveillance and diagnostic work on public-debt maturity.\n\n---\n\n Content in this bundle\n\n- Working Paper\n  - Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2021/04/23/parameterizing-debt-maturity-50299"
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    "Authors: Philip Barrett, Christopher Johns",
    "Published: April 23, 2021",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781513582511.001",
    "Purpose: Examine ways to summarize the maturity structure of public debts using a small number of parameters.",
    "Core contribution: Identification of a unique parametric form—portfolios of bonds with exponential coupons—that does not arbitrarily restrict debt issuance.",
    "Scope: Analysis of historical and recent government debt for multiple countries to evaluate parametric descriptions of maturity.",
    "Novel dataset: All promised future payments for government debt compiled for:",
    "Parametric approach: Portfolios of bonds with exponential coupons.",
    "Comparison benchmark: The most popular alternative parametric form (unnamed here) is used for comparative accuracy.",
    "Accuracy:",
    "Historical interpretation:",
    "Cross-country consistency:",
    "Applicability:",
    "Monitoring:",
    "Analysis:",
    "Practical utility:",
    "**Working Paper**"
  ],
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