The Valuation of Public Debt in the U.S. and Across Countries

美国和各国公共债务的估值

• 批准号: 2049260
• 负责人: Hanno Lustig
• 金额: $ 29.3万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2021
• 资助国家: 美国
• 起止时间: 2021-02-01 至 2024-01-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=2049260&HistoricalAwards=false
• 关键词: Valuation; Public; Debt; U.S.; Across; Valuation; Public; Debt; U.S.; Across

AbstractThe common assumption in economics is that the debt issued by the government of a country like the United States is risk-free. This project builds on the notion that this assumption is unlikely to hold. The public debt is like an asset whose cash flows are the government’s future primary surpluses. Because surpluses are cyclical in the short run and track the country’s output in the long run, this cash flow is risky and should earn a risk premium. The proper discount rate must exceed the risk-free interest rate. This project develops a model for pricing government debt considering the risk in cash flows and assesses the implications of this for taxpayers and for bondholders. This research points to the important distinction that risk-free rate should not be compared to the GDP growth rate, but to the risk-adjusted growth rate. The project has potential deep and broad contributions to policies on government debt capacity and sustainability of fiscal policies. In any equilibrium model with permanent shocks to output and reasonable asset pricing implications for the returns on stocks and bonds, the time series properties of the surplus that are consistent with the U.S. data result in government debt that is risky. Assumption of risk-free debt impose tight restrictions on the government’s surplus dynamics such that these restrictions are violated in the data. This project analyzes the underlying trade-off between the insurance provided to bondholders by keeping the debt risk-free and the insurance provided to taxpayers and transfer recipients. This insight gives rise to key questions that are explored in this project. First, the project looks at why the returns on the U.S. Treasury portfolio are so low if the surpluses are risky. Second, the research explores other developed countries in this regard to understand whether U.S. is different, and then considers the role of the demand for safe assets and the role of the U.S. as the world’s main supplier of safe assets within this context.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.

摘要经济学的共同假设是，像美国这样的国家政府发行的债务是无风险的。该项目基于通知，即此假设不太可能存在。公众调试就像是一种资产，其现金流量是政府未来的主要盈余。由于盈余在短期内是周期性的，并且从长远来看会追踪该国的产出，因此这种现金流是风险的，应该获得风险溢价。适当的折现率必须超过无风险利率。该项目开发了一个定价政府甲板的模型，考虑了现金流中的风险，并评估了这对纳税人和债券持有人的影响。这项研究指出，重要的疾病是，不应将无风险利率与GDP增长率进行比较，而应与风险调整后的增长率进行比较。该项目对政府甲板能力和财政政策的可持续性有潜在的深厚和广泛的贡献。在任何对股票和债券回报的产出和合理资产定价含义的均衡模型中，盈余的时间序列属性与美国的数据导致政府甲板相一致，这是有风险的。无风险债务的假设对政府的盈余动态施加了严格的限制，因此数据在数据中受到侵犯。该项目通过保持免债务风险和提供给纳税人和转让接收者的保险来分析提供给债券持有人的保险之间的基本权衡。这种见解引起了该项目中探讨的关键问题。首先，该项目探讨了为什么如果盈余冒险，美国国库投资组合的回报如此之低。其次，该研究在这方面探索了其他发达国家，以了解美国是否不同，然后考虑对安全资产的需求和美国作为世界上安全资产的主要供应商的作用。在这种情况下，该奖项反映了NSF的法定任务，并通过使用该基金会的智力功能和广泛的影响来评估Criteria，并通过评估来评估NSF的法定任务。