Government Debt Management: The Long and the Short of It
Government Debt Management: The Long and the Short of It
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DOI：
10.1093/restud/rdy061
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发表时间：
2018-10
期刊：
影响因子：
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通讯作者：
Elisa Faraglia;A. Marcet;Rigas Oikonomou;Andrew Scott
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文献类型：
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作者：
Elisa Faraglia;A. Marcet;Rigas Oikonomou;Andrew Scott
标准最优债务管理（DM）模型规定了长期债券的主导作用，并主张反对发行短期债券。他们需要非常大的头寸才能完善市场，并假设每个时期政府都会回购所有未偿债券并重新发行（r/r）新债券。 DM的这些特征与美国的数据不一致。我们通过较小的交易成本引入不完全市场，这使得最优DM更接近数据：r/r可以忽略不计，短期债券发行大量且持久，短期和长期债券正向共同变化。直观上，随着时间的推移，长期债券有助于平滑各州的税收，而短期债券则有助于平滑税收。解决具有多种资产的不完整市场模型具有挑战性，因此本文的进一步贡献是引入一种新颖的计算方法来寻找全局解决方案。
Standard optimal Debt Management (DM) models prescribe a dominant role for long bonds and advocate against issuing short bonds. They require very large positions in order to complete markets and assume each period that governments repurchase all outstanding bonds and reissue (r/r) new ones. These features of DM are inconsistent with U.S. data. We introduce incomplete markets via small transaction costs which serves to make optimal DM more closely resemble the data : r/r are negligible, short bond issuance substantial and persistent and short and long bonds positively co-vary. Intuitively, long bonds help smooth taxes over states and short bonds over time. Solving incomplete market models with multiple assets is challenging so a further contribution of this article is introducing a novel computational method to find global solutions.