| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27786 |
| 来源ID | Working Paper 27786 |
| Manufacturing Risk-free Government Debt | |
| Zhengyang Jiang; Hanno Lustig; Stijn Van Nieuwerburgh; Mindy Z. Xiaolan | |
| 发表日期 | 2020-09-07 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Governments face a trade-off between insuring bondholders and insuring taxpayers against output risk. If they insure bondholders by manufacturing risk-free zero-beta debt, then their capacity to insure taxpayers by lowering tax rates or raising government spending during recessions is limited. Using asset pricing tools, we develop a sufficient statistic for taxpayer insurance possibilities over different horizons, and characterize it analytically as a function of the debt/output, spending/output, and pricing kernel dynamics. With permanent shocks, taxpayers can only be insured over short horizons through counter-cyclical debt issuance. The horizon shrinks as the debt/output ratio reverts faster to its mean. The trade-off worsens if the output shocks are transitory instead of permanent. As the world’s safe asset supplier, the U.S. relies on strongly counter-cyclical debt issuance to provide more short-run insurance to its taxpayers. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Public Economics ; National Fiscal Issues |
| URL | https://www.nber.org/papers/w27786 |
| 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/585457 |
| 推荐引用方式 GB/T 7714 | Zhengyang Jiang,Hanno Lustig,Stijn Van Nieuwerburgh,et al. Manufacturing Risk-free Government Debt. 2020. |
| 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 | ||
| w27786.pdf（548KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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