OPTIMAL TIME-CONSISTENT GOVERNMENT DEBT MATURITY

• 成果类型: Article
• 署名作者: Debortoli, Davide; Nunes, Ricardo; Yared, Pierre
• 署名单位: Pompeu Fabra University; Barcelona School of Economics; Federal Reserve System - USA; Federal Reserve Bank - Boston; Columbia University; National Bureau of Economic Research
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjw038
• 发表日期: 2017
• 页码: 55-102
• 关键词: optimal fiscal-policy; sustainable plans; monetary; taxation

摘要

This article develops a model of optimal government debt maturity in which the government cannot issue state-contingent bonds and cannot commit to fiscal policy. If the government can perfectly commit, it fully insulates the economy against government spending shocks by purchasing short-term assets and issuing long-term debt. These positions are quantitatively very large relative to GDP and do not need to be actively managed by the government. Our main result is that these conclusions are not robust to the introduction of lack of commitment. Under lack of commitment, large and tilted debt positions are very expensive to finance ex ante since they exacerbate the problem of lack of commitment ex post. In contrast, a flat maturity structure minimizes the cost of lack of commitment, though it also limits insurance and increases the volatility of fiscal policy distortions. We show that the optimal time-consistent maturity structure is nearly flat because reducing average borrowing costs is quantitatively more important for welfare than reducing fiscal policy volatility. Thus, under lack of commitment, the government actively manages its debt positions and can approximate optimal policy by confining its debt instruments to consols.