Debt and deficit fluctuations and the structure of bond markets

• 成果类型: Article
• 署名作者: Marcet, Albert; Scott, Andrew
• 署名单位: University of London; London Business School; Autonomous University of Barcelona; Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2008.06.009
• 发表日期: 2009
• 页码: 473-501
• 关键词: Complete vs incomplete markets; debt management; FISCAL DEFICITS; government debt; optimal fiscal policy; Tax smoothing

摘要

We analyse the implications of optimal taxation for the stochastic behaviour of debt. We show that when a government pursues an optimal fiscal policy under complete markets, the value of debt has the same or less persistence than other variables in the economy anti it declines in response to shocks that cause the deficit to increase. By contrast, under incomplete markets debt shows more persistence than other Variables and it increases in response to shocks that Cause a higher deficit. Data for US government debt reveals diametrically opposite results from those of complete markets and is much more supportive of bond market incompleteness. (C) 2008 Elsevier Inc. All rights reserved.