The liquidity channel of fiscal policy

• 成果类型: Article
• 署名作者: Bayer, Christian; Born, Benjamin; Luetticke, Ralph
• 署名单位: University of Bonn; Leibniz Association; Ifo Institut; IZA Institute Labor Economics; Frankfurt School Finance & Management; Leibniz Association; Ifo Institut; Leibniz Association; Ifo Institut; Eberhard Karls University of Tubingen
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2022.11.009
• 发表日期: 2023
• 页码: 86-117
• 关键词: Fiscal policy and public debt; incomplete markets; Liquidity premium; HANK; Impulse response matching

摘要

Expansionary fiscal policy lowers the return difference between public debt and less liquid assets-the liquidity premium. We rationalize this finding in an estimated heterogeneous -agent New-Keynesian model with incomplete markets and portfolio choice, in which public debt affects private liquidity. This liquidity channel stabilizes fixed-capital investment. We then quantify the long-run effects of higher public debt and find little crowding out of capital, but a sizable decline of the liquidity premium, which increases the fiscal burden of debt. The revenue-maximizing level of public debt is positive and has increased to 60 percent of US GDP post-2010. (c) 2023 The Authors. Published by Elsevier B.V.