Safe Assets

• 成果类型: Article
• 署名作者: Brunnermeier, Markus K.; Merkel, Sebastian; Sannikov, Yuliy
• 署名单位: Princeton University; University of Bristol; Stanford University
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/730547
• 发表日期: 2024
• 页码: 3603-3657
• 关键词: portfolio choice; public debt; RISK; liquidity; consumption; returns; bubbles; GROWTH; prices; MODEL

摘要

The price of a safe asset reflects not only the expected discounted future cash flows but also future service flows, since retrading allows partial insurance of idiosyncratic risk in an incomplete markets setting. This lowers the issuers' interest burden. As idiosyncratic risk rises during recessions, so does the value of the service flows bestowing the safe asset with a negative beta. The resulting exorbitant privilege resolves government debt valuation puzzles and allows the government to run a permanent (primary) deficit without ever paying back its debt, but the government faces a debt Laffer curve.