Arbeitspapier
Discount rates, debt maturity and the fiscal theory
This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect the expected inflation, even in a frictionless economy. The effects of maturity rebalancing on expected inflation in the fiscal theory directly depend on the conditional nominal term premium, giving rise to an optimal debt maturity policy that is state dependent. In a calibrated macro-finance model, we demonstrate that maturity operations have sizable effects on expected inflation and output through our novel risk transmission mechanism.
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Canada Staff Working Paper ; No. 2021-58
- Classification
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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Fiscal policy
Interest rates
Monetary policy
- Event
-
Geistige Schöpfung
- (who)
-
Corhay, Alexandre
Kind, Thilo
Kung, Howard
Morales, Gonzalo
- Event
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Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
-
2021
- DOI
-
doi:10.34989/swp-2021-58
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Corhay, Alexandre
- Kind, Thilo
- Kung, Howard
- Morales, Gonzalo
- Bank of Canada
Time of origin
- 2021
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