The Valuation of Public Debt in the U.S. and Across Countries

经济学中的普遍假设是，像美国这样的国家的政府发行的债务是无风险的。这个项目建立在这样一个概念上，即这种假设不太可能成立。公共债务就像是一种资产，其现金流是政府未来的主要盈余。因为盈余在短期内是周期性的，从长期来看是跟踪国家产出的，所以这种现金流是有风险的，应该会赚取风险溢价。适当的贴现率必须超过无风险利率。这个项目开发了一个考虑现金流风险的政府债务定价模型，并评估了这对纳税人和债券持有人的影响。这项研究指出了一个重要的区别，即不应将无风险增长率与GDP增长率进行比较，而应将其与风险调整后的增长率进行比较。该项目对关于政府债务能力和财政政策可持续性的政策具有潜在的深远和广泛的贡献。在任何产出受到永久性冲击、股票和债券回报受到合理资产定价影响的均衡模型中，盈余的时间序列属性与美国数据一致，导致政府债务具有风险。无风险债务的假设对政府的盈余动态施加了严格的限制，以至于这些限制在数据中被违反。该项目分析了通过保持债务无风险而向债券持有人提供的保险与向纳税人和转让接受者提供的保险之间的基本权衡。这种洞察力引出了本项目中探讨的关键问题。首先，该项目着眼于为什么在盈余具有风险的情况下，美国国债投资组合的回报如此之低。其次，这项研究在这方面探索了其他发达国家，以了解美国是否有所不同，然后考虑了在这一背景下对安全资产的需求以及美国作为世界主要安全资产供应国的角色。这一奖项反映了NSF的法定使命，并通过使用基金会的智力优势和更广泛的影响审查标准进行评估，被认为值得支持。

AbstractThe common assumption in economics is that the debt issued by the government of a country like the United States is risk-free. This project builds on the notion that this assumption is unlikely to hold. The public debt is like an asset whose cash flows are the government’s future primary surpluses. Because surpluses are cyclical in the short run and track the country’s output in the long run, this cash flow is risky and should earn a risk premium. The proper discount rate must exceed the risk-free interest rate. This project develops a model for pricing government debt considering the risk in cash flows and assesses the implications of this for taxpayers and for bondholders. This research points to the important distinction that risk-free rate should not be compared to the GDP growth rate, but to the risk-adjusted growth rate. The project has potential deep and broad contributions to policies on government debt capacity and sustainability of fiscal policies. In any equilibrium model with permanent shocks to output and reasonable asset pricing implications for the returns on stocks and bonds, the time series properties of the surplus that are consistent with the U.S. data result in government debt that is risky. Assumption of risk-free debt impose tight restrictions on the government’s surplus dynamics such that these restrictions are violated in the data. This project analyzes the underlying trade-off between the insurance provided to bondholders by keeping the debt risk-free and the insurance provided to taxpayers and transfer recipients. This insight gives rise to key questions that are explored in this project. First, the project looks at why the returns on the U.S. Treasury portfolio are so low if the surpluses are risky. Second, the research explores other developed countries in this regard to understand whether U.S. is different, and then considers the role of the demand for safe assets and the role of the U.S. as the world’s main supplier of safe assets within this context.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.