Collaborative Research: A Unified Framework for Optimal Public Debt Management

合作研究：最优公共债务管理的统一框架

• 批准号: 1918713
• 负责人: Mikhail Golosov
• 金额: $ 37.3万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2019
• 资助国家: 美国
• 起止时间: 2019-08-01 至 2024-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1918713&HistoricalAwards=false
• 关键词: Collaborative; Research; Unified; Framework; Optimal

AbstractGovernment debt has an important role in an economy as decisions on government debt issuance has implications on fiscal policy and the tax system. When issuing debt, government must decide on how to rebalance its existing debt, how much new debt to issue and the duration of borrowing - between short and long-term borrowing. These decisions must be made by considering the state of the economy, including the growth rate, employment levels, inflation, interest rates and the impact of government debt issuance on bond markets. The goal of this project is to develop a framework to examine current public debt management practices and suggest ways to improve them. The project will deliver easy to use and easy to implement formulas that prescribe the optimal maturity and the optimal frequency of public debt rebalancing along with mathematical models that illustrate their usefulness.Managing public debt is a crucial policy issue that concerns economists, policymakers, and the general public. There is limited practical guidance on the types of debt securities government should issue and the frequency with which a government should rebalance its debt portfolio. This proposal aims to develop a unified framework for optimal public debt management that integrates the public debt literature that imposes commitment, the literature on debt without commitment in closed and open economies, and the finance literature on optimal portfolio theory. Methodologically, the proposal will expand the "sufficient statistics" approach that is widely used in public finance. The key deliverables will consist of formulas for optimal portfolios that summarize the normative prescriptions from large classes of models in terms of a small number of empirical moments. These moments will be estimated and used as inputs in a quantitative structural model of debt management that can be used for joint analysis of debt and tax policies.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.

政府债务在经济中具有重要作用，因为政府债务发行的决策对财政政策和税收制度有影响。在发行债务时，政府必须决定如何重新平衡其现有债务，发行多少新债务以及借款期限-短期和长期借款之间。 在作出这些决定时，必须考虑经济状况，包括增长率、就业水平、通货膨胀、利率以及政府发行债券对债券市场的影响。该项目的目标是制定一个框架，以审查目前的公共债务管理做法，并提出改进方法。该项目将提供易于使用和易于实施的公式，规定最佳期限和最佳频率的公共债务再平衡沿着数学模型，说明其有用性。管理公共债务是一个关键的政策问题，涉及经济学家，政策制定者和公众。关于政府应发行何种类型的债务证券以及政府应多久重新平衡其债务组合的问题，实际指导意见有限。该建议旨在为最优公共债务管理制定一个统一的框架，该框架整合了强制承诺的公共债务文献、封闭和开放经济体中无承诺债务的文献以及最优投资组合理论的金融文献。在方法上，该提案将扩大公共财政中广泛使用的“充分统计”方法。关键的交付成果将包括最佳投资组合的公式，这些公式根据少量的经验矩总结了来自大类模型的规范性处方。 这些时刻将被估计并用作债务管理的定量结构模型的输入，该模型可用于债务和税收政策的联合分析。该奖项反映了NSF的法定使命，并被认为值得通过使用基金会的智力价值和更广泛的影响审查标准进行评估来支持。

项目成果

Inequality, Business Cycles, and Monetary‐Fiscal Policy

不平等、商业周期和货币财政政策

• DOI: 10.3982/ecta16414
• 发表时间: 2021
• 期刊: Econometrica
• 影响因子: 6.1
• 作者: Bhandari, Anmol;Evans, David;Golosov, Mikhail;Sargent, Thomas J.
• 通讯作者: Sargent, Thomas J.