Modelling the UK gilt‐edged market
研究英国金边债券的部门需求，发现持有量与自身价格呈反向相关，这源于现有持有的被动重估，并使用协整分析和动态模型检验证据。
Abstract 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.