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。公共债务就像一种资产，其现金流是政府未来的主要盈余。由于盈余在短期内是周期性的，并在长期内跟踪国家的产出，因此这种现金流是有风险的，应该获得风险溢价。适当的贴现率必须超过无风险利率。本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，即无风险利率不应与GDP增长率相比较，而应与风险调整后的增长率相比较。该项目可能对政府债务能力和财政政策可持续性的政策作出深刻和广泛的贡献。 在任何一个均衡模型中，如果产出受到永久性冲击，资产定价对股票和债券收益率有合理的影响，那么盈余的时间序列特性与美国的数据一致，就会导致政府债务存在风险。无风险债务的假设对政府的盈余动态施加了严格的限制，使得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移接受者提供的保险之间的潜在权衡。这一见解引发了本项目中探索的关键问题。首先，该项目着眼于如果盈余存在风险，为什么美国国债投资组合的回报率如此之低。第二，通过对其他发达国家的调查，了解美国是否与其他发达国家不同，并在此背景下，考虑安全资产需求的作用和美国作为世界主要安全资产提供者的作用。该奖项反映了NSF的法定使命，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。

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.