| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26583 |
| 来源ID | Working Paper 26583 |
| The U.S. Public Debt Valuation Puzzle | |
| Zhengyang Jiang; Hanno Lustig; Stijn Van Nieuwerburgh; Mindy Z. Xiaolan | |
| 发表日期 | 2019-12-23 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | The government budget constraint ties the market value of government debt to the expected risk-adjusted present discounted value of fiscal surpluses. We find evidence that U.S. Treasury investors fail to impose this no-arbitrage restriction in the U.S. Both cyclical and long-run dynamics of tax revenues and government spending make the surplus claim risky. In a realistic asset pricing model, this risk in surpluses creates a large gap between the market value of debt and its fundamental value, the PDV of surpluses, suggesting that U.S. Treasurys may be mispriced. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Fiscal Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w26583 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584257 |
| 推荐引用方式 GB/T 7714 | Zhengyang Jiang,Hanno Lustig,Stijn Van Nieuwerburgh,et al. The U.S. Public Debt Valuation Puzzle. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26583.pdf（663KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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