Fiscal policy and the nominal term premium

Arbeitspapier

We estimate a New Keynesian model on post-war US data with generalised method of moments using either constant or time- varying debt and labor income taxes. We show that accounting for government debt and distortionary taxes help the New Keynesian model match the level of the nominal term premium with a lower relative risk-aversion than typically found in the literature.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: MNB Working Papers ; No. 2019/2

Classification and Topics

• Classification: Wirtschaft ; General Aggregative Models: Neoclassical ; Price Level; Inflation; Deflation ; Interest Rates: Determination, Term Structure, and Effects ; Financial Markets and the Macroeconomy ; Fiscal Policy
• Subject: zero-coupon bond ; nominal term premium ; balanced budget rule ; government debt ; income taxation

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Horváth, Roman ; Kaszab, Lóránt ; Marsal, Ales
• Event: Veröffentlichung
• (who): Magyar Nemzeti Bank
• (where): Budapest
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/224097
• Last update: 10.03.2025, 11:42 AM CET