The US Public Debt Valuation Puzzle

• 成果类型: Article
• 署名作者: Jiang, Zhengyang; Lustig, Hanno; Van Nieuwerburgh, Stijn; Xiaolan, Mindy Z.
• 署名单位: Northwestern University; National Bureau of Economic Research; National Bureau of Economic Research; Stanford University; Columbia University; Center for Economic & Policy Research (CEPR); University of Texas System; University of Texas Austin
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA20497
• 发表日期: 2024
• 页码: 1309-1347
• 关键词: risk; determinants; sustainability; inflation; MODEL

摘要

The government budget constraint ties the market value of government debt to the expected present discounted value of fiscal surpluses. We find evidence that U.S. Treasury investors fail to impose this no-arbitrage restriction in the United States. Both cyclical and long-run dynamics of tax revenues and government spending make the surplus claim risky. In a realistic asset pricing model, this risk in surpluses creates a large gap between the market value of debt and its fundamental value, the PDV of surpluses, suggesting that U.S. Treasuries may be overpriced.