4 References
Adrogué, Ricardo (2005) “Fiscal Sustainability: A Value-at-Risk Approach.” IMF Occasional Papers, 243: 59–68.
Akgiray, Vedat, and G. Geoffrey Booth (1998) “The Stable-Law Model of Stock Returns.” Journal of Business and Economic Statistics 6(1): 51-57.
Barnhill, Jr., Theodore M (2006) “Modeling and Managing Sovereign Risk in a Jumpy World.” Global and Entrepreneurial Finance Research Institute, George Washington University, Mimeo, March.
Barnhill, Jr., Theodore M. and George Kopits (2003) “Assessing Fiscal Sustainability Under Uncertainty.” IMF, Working Paper 03/79.
Barro, Robert J (1979) “On the Determination of Public Debt.” Journal of Political Economy 87: 940–971.
Bohn, Henning (1990) “Tax Smoothing with Financial Instruments.” American Economic Review 80(5): 1217-1230.
Bradbury, Simon, Jim Brumby and David Skilling (1999) “Sovereign Net Worth: An Analytical Framework.” New Zealand Treasury, Working Paper 99/3.
Buiter, Willem H (1984) “Measuring Aspects of Fiscal and Financial Policy.” National Bureau of Economic Research,Working Paper No. 1332.
Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay (1997) The Econometrics of Financial Markets. Princeton University Press.
Davis, Nick (2002) “Developing a Stochastic Long-Term Fiscal Model to Analyse the Impact of Portfolio Composition on the Crown's Fiscal Aggregates.” Internal paper, New Zealand Treasury.
Duffie, Darrell, and Kenneth J. Singleton (2003) Credit Risk: Pricing, Measurement, and Management. Princeton University Press.
Fabling, Richard (2002) “Measuring the Crown's Portfolio Using a Mean-Variance Approach.” Internal paper, New Zealand Treasury, 11 February.
Fowlie, Kerryn, and Julian Wright (1997) “Optimal Currency Denomination of Public Debt in New Zealand.” New Zealand Economic Papers, December 1997.
Graff, Michael (2004) “Estimates of the Output Gap in Real Time: How Well Have We Been Doing?” Reserve Bank of New Zealand, Discussion Paper DP2004/04.
Gray, Dale F, Robert C. Merton, Zvi Bodie (2008) “New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability.” National Bureau of Economic Research,Working Paper No. 13607.
Grimes, Arthur (2001) “Crown Financial Asset Management: Objectives and Practice.” New Zealand Treasury, Working Paper 01/12.
Guardians of New Zealand Superannuation (2008) “Statement of Intent for the Period Commencing 1 July 2008 to 30 June 2011.”
Hawkesby, Christian B., and Julian Wright (1997) "The Optimal Public Debt Portfolios for Nine OECD Countries: A Tax Smoothing Approach" University of Canterbury, 20 December
Higham, Nicholas J. (2002) “Computing the Nearest Correlation Matrix - A Problem from Finance.” IMA Journal of Numerical Analysis, 22: 329–343.
Huther, Jeff (1998) “An Application of Portfolio Theory to the New Zealand Public Sector.” New Zealand Treasury, Working Paper 98/4.
Huther, Jeff (1999) “An Integrated Approach to Government Financial Policy.” New Zealand Treasury, Working Paper 99/8.
IMF and the World Bank (2001) Guidelines for Public Debt Management. International Monetary Fund and the World Bank.
Irwin, Timothy (2009) “The Crown's Comprehensive Balance Sheet.” Report prepared for the New Zealand Treasury, LECG, 12 June.
Jorion, Phillippe (2007) Value at Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill.
Kahneman, Daniel, and Don Lovallo (1993) “Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk Taking.” Management Science 39(1).
Kahneman, Daniel, and Amos Tversky (1979) “Intuitive Prediction: Biases and Corrective Procedures.” Management Science 12: 313-327.
Keene, Martin, and Peter Thomson (2007) “An Analysis of Tax Revenue Forecast Errors.” New Zealand Treasury, Working Paper 07/02.
McCulloch, Brian (1998) “Risk Management: A Position Paper for the 1998 Fiscal Strategy Report.” Internal paper, New Zealand Treasury, 6 March.
Macquarie Research (2008) “Equity Analyst Valuation Reports on Genesis Energy, Meridian Energy and Mighty River Power.”
Mandelbrot, Benoît B., and Richard L. Hudson (2005) The (Mis)behaviour of Financial Markets: A Fractal View of Risk, Ruin, and Reward.Profile books.
Merton, Robert C., and Zvi Bodie (1992) “On the Management of Financial Guarantees.” Financial Management 21(4): 87-109.
Mina, Jorge (2005) “Risk Budgeting for Pension Plans.” RiskMetrics Journal 6(1): 9–34
Moody's (2009) “Not All Public Debt is the Same: Navigating the Public Accounts Maze.” Moody's Sovereign Analytics.
New Zealand Treasury (2003) “Guidelines for the Management of Crown and Departmental Foreign-Exchange Exposure.” 24 November.
New Zealand Treasury (2008) “Public Sector Discount Rates for Cost Benefit Analysis.” 4 July.
New Zealand Treasury (2009) Challenges and Choices: New Zealand's Long-term Fiscal Statement. Wellington, October 2009.
Orphanides, Athanasios, and Simon van Norden (2002) "The Unreliability of Output-Gap Estimates in Real Time." Review of Economics and Statistics, 84(4): 569–583.
Rabin, Matthew (2000) “Diminishing Marginal Utility of Wealth Cannot Explain Risk Aversion” in Choices, Values, and Frames, ed. Daniel Kahneman and Amos Tversky, 202-8. Cambridge, U.K.: Cambridge University Press and the Russell Sage Foundation.
Sharpe, William (2003) “Budgeting and Monitoring Pension Fund Risk.” Financial Analysts Journal 58(5): 74-86.
Timmermann, Allan (1995) “Scales and Stock Markets.” Nature 376: 18-19.
