Managing Public Portfolios

• 成果类型: Article
• 署名作者: Aparisi de Lannoy, Leo; Bhandari, Anmol; Evans, David; Golosov, Mikhail; Sargent, Thomas
• 署名单位: University of Chicago; University of Minnesota System; University of Minnesota Twin Cities; University of Oregon; New York University
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/738150
• 发表日期: 2025
• 关键词: optimal fiscal-policy; monetary-policy; term structure; Expected returns; optimal maturity; asset returns; RISK; debt; consumption; substitution

摘要

We study optimal public portfolios in a class of macro-finance models that includes widely used specifications of households' risk and liquidity preferences, market structures for financial assets, and trading frictions. An optimal portfolio hedges fluctuations in interest rates, primary surpluses, and income inequalities. We express an optimal portfolio in terms of statistics that are functions only of macro and financial market data. An application to US data shows that hedging interest rate risk plays a dominant role in shaping an optimal maturity structure of US government debt.