Fiscal shocks and fiscal risk management

• 成果类型: Article
• 署名作者: Lloyd-Ellis, H; Zhu, X
• 署名单位: Queens University - Canada; University of Toronto
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(01)00081-2
• 发表日期: 2001
• 页码: 309-338
• 关键词: Fiscal policy; sustainability; asset pricing; risk management

摘要

We use the returns on a set of international financial securities to identify exogenous shocks to the Canadian federal surplus. We find that a large portion of the variation in the surplus can be replicated by a linear combination of these returns and that the recent rise in debt resulted from adverse shocks and a delayed response by the government. We develop a framework to evaluate the gains from a risk management strategy, using these securities to hedge against shocks. We find that hedging generates significant welfare gains by enhancing the sustainability of fiscal policy and diversifying the risk associated with tax changes. (C) 2001 Published by Elsevier Science B.V.