Modeling the UK Gilt-Edged Market

Davidson, J. and Madonia, G. and Westaway, P. (1994) Modeling the UK Gilt-Edged Market. Journal of Applied Econometrics, 9 (3). pp. 231-253. ISSN 0883-7252. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

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In this paper we examine the sectoral demand for UK gilt-edged securities. The Tobin-Markowitz model of portfolio choice generates the prediction that asset holdings should be negatively correlated with the own price, and positively correlated with the prices of major substitutes. In contrast, for all the five major groups of UK gilt holders, we find evidence consistent with a reverse correlation between the own price and market holdings which we argue arises due to the passive revaluation of existing holdings. We examine the empirical evidence using both cointegration analysis of stock holdings and a dynamic model of net transactions.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculties > Social Sciences > School of Economics
Depositing User: P. Ogbuji
Date Deposited: 30 Jun 2009 19:47
Last Modified: 30 Jun 2009 19:47
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