Discount Rates, Debt Maturity, and the Fiscal Theory

• 成果类型: Article
• 署名作者: Corhay, Alexandre; Kind, Thilo; Kung, Howard; Morales, Gonzalo
• 署名单位: University of Toronto; University of London; London Business School; Centre for Economic Policy Research - UK; Bank of Canada; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13282
• 发表日期: 2023
• 页码: 3561-3620
• 关键词: monetary-policy; long-run; RISK; bond; price; determinants; uncertainty; inflation; cycles

摘要

This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect expected inflation, even in a frictionless economy. The effects of maturity rebalancing on expected inflation in the fiscal theory depend directly on the conditional nominal term premium, giving rise to an optimal debt-maturity policy that is state-dependent. In a calibrated macrofinance model, we demonstrate that maturity operations have sizable effects on expected inflation and output through our novel risk transmission mechanism.