Safe Assets

• 成果类型: Article
• 署名作者: Barro, Robert J.; Fernandez-Villaverde, Jesus; Levintal, Oren; Mollerus, Andrew
• 署名单位: Harvard University; University of Pennsylvania; Reichman University; Columbia University
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1093/ej/ueac017
• 发表日期: 2022
• 页码: 2075-2100
• 关键词: rare disasters; interest-rates; term structure; long-run; equilibrium; MODEL; RISK; consumption; prices; crises

摘要

This paper investigates the quantity of safe assets. First, we estimate that the average safe-asset ratio (ratio of safe to total assets) in 34 OECD countries was 37% in 2015. Further, we document that this ratio is relatively stable over time. Second, we build a heterogeneous-agent model with rare disasters and risk aversion coefficients that accounts for (i) the average level of the safe-asset ratio; (ii) the stability of this ratio over time; (iii) the observed risk-free rate of around 1.0% per year; and (iv) the empirical unlevered equity premium of about 4.2%. The model also replicates the observed highly concentrated distributions of wealth and equity. Finally, Ricardian equivalence holds in our model: issuing additional government bonds has no effect on rates of return and the net quantity of safe assets. Surprisingly, the crowding-out coefficient for private bonds with respect to public bonds is around -0.5, a value found in empirical studies.