Inflating Away the Public Debt? An Empirical Assessment

• 成果类型: Article
• 署名作者: Hilscher, Jens; Raviv, Alon; Reis, Ricardo
• 署名单位: University of California System; University of California Davis; Bar Ilan University; University of London; London School Economics & Political Science
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab018
• 发表日期: 2022
• 页码: 1553
• 关键词: monetary-policy; yield curve; RISK; DECOMPOSITION

摘要

This paper proposes a new method for measuring the impact of inflation on the real value of public debt. The distribution of debt debasement is based on two inputs: the distribution of privately held nominal debt by maturity, for which we provide new estimates, and the distribution of risk-adjusted inflation dynamics, for which we provide a novel copula estimator using options data. We find that inflation by itself is unlikely to lower the U.S. fiscal burden significantly because debt is concentrated at short maturities and perceived inflation shocks have little short-run persistence and are small.