Discount rates, debt maturity, and the fiscal theory

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SAFE Working Paper ; No. 323

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: Term structure of interest rates ; Fiscal theory of the price level ; Bond risk premia ; Government debt ; DSGE models ; Nonlinear solution methods

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Corhay, Alexandre ; Kind, Thilo ; Kung, Howard ; Morales, Gonzalo
• Ereignis: Veröffentlichung
• (wer): Leibniz Institute for Financial Research SAFE
• (wo): Frankfurt a. M.
• (wann): 2021

Weitere Informationen

• DOI: doi:10.2139/ssrn.3940955
• Handle: http://hdl.handle.net/10419/243282
• URN: urn:nbn:de:hebis:30:3-616375
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ