| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16082 |
| DP16082 The U.S. Public Debt Valuation Puzzle | |
| Zhengyang Jiang; Hanno Lustig; Stijn Van Nieuwerburgh; Mindy Xiaolan | |
| 发表日期 | 2021-04-28 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | The market value of outstanding federal government debt in the U.S. exceeds the expected present discounted value of current and future primary surpluses by a multiple of U.S. GDP. When the pricing kernel fits U.S. equity and Treasury prices and the government surpluses are consistent with U.S. post-war data, a government debt valuation puzzle emerges. Since tax revenues are pro-cyclical while government spending is counter-cyclical, the tax revenue claim has a higher short-run discount rate and a lower value than the spending claim. Since revenue and spending are co-integrated with GDP, the long-run risk discount rates of both claims are much higher than the long Treasury yield. These forces imply a negative present value of U.S. government surpluses. Convenience yields for Treasurys are much larger than previously thought and/or U.S. Treasury markets have failed to enforce the no-bubble condition. |
| 主题 | Financial Economics ; Macroeconomics and Growth ; Public Economics |
| 关键词 | Fiscal policy Term structure Debt maturity Convenience yield |
| URL | https://cepr.org/publications/dp16082 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545060 |
| 推荐引用方式 GB/T 7714 | Zhengyang Jiang,Hanno Lustig,Stijn Van Nieuwerburgh,et al. DP16082 The U.S. Public Debt Valuation Puzzle. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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