FISCAL POLICY AND DEBT MANAGEMENT WITH INCOMPLETE MARKETS

• 成果类型: Article
• 署名作者: Bhandari, Anmol; Evans, David; Golosov, Mikhail; Sargent, Thomas J.
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; University of Oregon; Princeton University; New York University
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjw041
• 发表日期: 2017
• 页码: 617-663
• 关键词: portfolio selection; optimal maturity; taxation; MODEL

摘要

A Ramsey planner chooses a distorting tax on labor and manages a portfolio of securities in an economy with incomplete markets. We develop a method that uses second order approximations of Ramsey policies to obtain formulas for conditional and unconditional moments of government debt and taxes that include means and variances of the invariant distribution as well as speeds of mean reversion. The asymptotic mean of the planner's portfolio minimizes a measure of fiscal risk. We obtain analytic expressions that approximate moments of the invariant distribution and apply them to data on a primary government deficit, aggregate consumption, and returns on traded securities. For U.S. data, we find that the optimal target debt level is negative but close to zero, the invariant distribution of debt is very dispersed, and mean reversion is slow.