Collaborative Research: A Unified Framework for Optimal Public Debt Management

摘要政府债务在经济中起着重要的作用，因为政府债务的发行决定会影响财政政策和税收制度。在发行债务时，政府必须决定如何重新平衡现有债务、发行多少新债务以及借款期限——在短期和长期借款之间。这些决定必须考虑到经济状况，包括增长率、就业水平、通货膨胀、利率以及政府债券发行对债券市场的影响。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实施的公式，规定公共债务再平衡的最佳期限和最佳频率，以及说明其实用性的数学模型。管理公共债务是一个关乎经济学家、政策制定者和公众的关键政策问题。关于政府应发行何种类型的债务证券，以及政府应以何种频率重新平衡其债务组合，目前的实际指导有限。本提案旨在建立一个最优公共债务管理的统一框架，该框架整合了强加承诺的公共债务文献、关于封闭和开放经济中无承诺债务的文献以及关于最优投资组合理论的金融文献。在方法上，该提案将扩大在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由最优投资组合的公式组成，这些公式根据少量的经验时刻总结了来自大类模型的规范处方。将对这些时刻进行估计，并将其用作债务管理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。该奖项反映了美国国家科学基金会的法定使命，并通过使用基金会的知识价值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.