Time Consistency and Duration of Government Debt: A Model of Quantitative Easing

• 成果类型: Article
• 署名作者: Bhattarai, Saroj; Eggertsson, Gauti B.; Gafarov, Bulat
• 署名单位: University of Texas System; University of Texas Austin; Brown University; University of California System; University of California Davis
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdac063
• 发表日期: 2023
• 页码: 1759-1799
• 关键词: monetary-policy; interest-rates; maturity; default; escape

摘要

This article presents a model of quantitative easing (QE) at the zero lower bound (ZLB) on the short-term nominal interest rate. QE, which reduces the maturity of government debt, is effective at the ZLB because it generates expectations of future monetary expansion in a time-consistent equilibrium. Numerical experiments show that this effect can be substantial.