Collaborative Research: A Unified Framework for Optimal Public Debt Management

摘要政府债务在经济中具有重要作用，因为政府债务发行的决定会对财政政策和税收制度产生影响。在发行债券时，政府必须决定如何对现有债务进行再平衡，发行多少新债务，以及借款期限--在短期借款和长期借款之间。这些决定必须考虑经济状况，包括增长率、就业水平、通胀、利率以及政府发债对债券市场的影响。该项目的目标是制定一个框架，审查目前的公共债务管理做法，并提出改进办法。该项目将提供易于使用和易于实施的公式，这些公式规定了公共债务再平衡的最佳期限和最佳频率，以及说明其有效性的数学模型。管理公共债务是涉及经济学家、政策制定者和普通公众的关键政策问题。对于政府应该发行的债务证券的类型以及政府应该对其债务组合进行再平衡的频率，实践指导有限。这项提议旨在制定一个统一的公共债务管理框架，将强加承诺的公共债务文献、关于在封闭和开放经济体中没有承诺的债务的文献以及关于最优投资组合理论的金融文献结合起来。从方法上讲，该提案将扩大公共财政中广泛使用的“充分统计”方法。关键的可交付成果将包括最优投资组合的公式，这些公式总结了以少量经验矩为基础的大类模型的规范处方。这些时刻将被估计并用作债务管理的量化结构模型的输入，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。

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.