What Drives Variation in the US Debt-to-Output Ratio? The Dogs that Did not Bark

• 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; Stanford University; Columbia University; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13363
• 发表日期: 2024
• 页码: 2603-2665
• 关键词: unit-root tests; stock returns; time-series; EFFICIENT TESTS; public debt; RISK; models; predictability; expectations; INFORMATION

摘要

A higher U.S. government debt-to-output (D-O) ratio does not forecast higher surpluses or lower returns on Treasurys in the future. Neither future cash flows nor discount rates account for the variation in the current D-O ratio. The market valuation of Treasurys is surprisingly insensitive to macro fundamentals. Instead, the future D-O ratio accounts for most of the variation because the D-O ratio is highly persistent. Systematic surplus forecast errors may help account for these findings. Since the start of the Global Financial Crisis, surplus projections have anticipated a large fiscal correction that failed to materialize.