Monetary policy, bond returns and debt dynamics

• 成果类型: Article
• 署名作者: Berndt, Antje; Yeltekin, Sevin
• 署名单位: North Carolina State University; Australian National University; Carnegie Mellon University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2015.03.001
• 发表日期: 2015
• 页码: 119-136
• 关键词: Monetary policy; Debt dynamics; Bond returns; predictability

摘要

Using the government's intertemporal budget constraint, we quantify the contribution of returns paid on the U.S. government's debt portfolio to the evolution of the debt-to-GDP ratio. We show that announcements of unconventional monetary policy measures by the Federal Reserve between 2008.IV and 2012, as a part of macro-economic stabilization, were associated with a sizable increase in returns and debt-to-GDP ratios and contributed to fiscal imbalances. We use the Federal Reserve's portfolio composition as a proxy for unconventional monetary policy measures and show that it is significantly related to future bond returns and fiscal balances. (C) 2015 Elsevier B.V. All rights reserved.