Manufacturing risk-free government debt

• 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; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104203
• 发表日期: 2026-02
• 页码: 104203
• 关键词: Fiscal policy; term structure; Debt maturity; Convenience yield; public debt; asset; uncertainty; premium; demand; POLICY; price

摘要

In the presence of aggregate risk, governments face a trade-off between insuring taxpayers or bondholders. The literature assumes that the government can finance deficits at the risk-free rate, protecting bondholders at the expense of taxpayers. We characterize the implications of this assumption on the surplus process. Under reasonable debt dynamics, counter-cyclical debt issuance that protects taxpayers against adverse macroeconomic shocks is limited in time and scope, and comes at the expense of higher long-run risk. We find that the restrictions imposed by risk-free debt are rejected in U.S. surplus data, especially after the GFC. Taxpayers have been protected at the expense of bondholders.