G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16407
DP16407 The Risks of Safe Assets
Lukas Schmid; Yang Liu; Amir Yaron
发表日期2021-07-29
出版年2021
语种英语
摘要How much safety and liquidity can the US government provide? Should it accommodate demand for these attributes because high convenience yields in Treasuries lower its borrowing cost? We evaluate a novel fiscal risk channel limiting the government's capacity to issue debt through the lens of a general equilibrium asset pricing model with a rich fiscal sector. Expanding safe asset supply lowers safety premia and improves liquidity in financial markets, but creates tax and consumption volatility, raising risk premia, credit spreads, and firms' cost of capital. Our model predicts that this risk channel leads to depressed growth prospects, rising Treasury yields, and elevated consumption risk, for which we find strong empirical evidence. We use our model to quantitatively evaluate current proposals on stimulus and stabilization packages and find that the risk channel is exacerbated in times of fiscal stress. Increasing safe asset supply can thus be risky, and have a significant fiscal cost.
主题Financial Economics ; Macroeconomics and Growth
关键词Government debt Safe assets Fiscal costs Risk premia
URLhttps://cepr.org/publications/dp16407
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/545369
推荐引用方式
GB/T 7714
Lukas Schmid,Yang Liu,Amir Yaron. DP16407 The Risks of Safe Assets. 2021.
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