Discount rates, debt maturity and the fiscal theory / by Alexandre Corhay, Thilo Kind, Howard Kung and Gonzalo Morales. : FB3-5/2021-58E-PDF
"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 the expected inflation, even in a frictionless economy. The effects of maturity rebalancing on expected inflation in the fiscal theory directly depend on the conditional nominal term premium, giving rise to an optimal debt maturity policy that is state dependent. In a calibrated macro-finance model, we demonstrate that maturity operations have sizable effects on expected inflation and output through our novel risk transmission mechanism"--Abstract.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.905809&sl=1
| Ministère/Organisme | Bank of Canada, issuing body. |
|---|---|
| Titre | Discount rates, debt maturity and the fiscal theory / by Alexandre Corhay, Thilo Kind, Howard Kung and Gonzalo Morales. |
| Titre de la série | Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-58 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "Last updated: November 26, 2021." Includes bibliographical references (pages 45-49). |
| Information sur la publication | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2021. ©2021 |
| Auteur / Contributeur | Corhay, Alexandre, author. |
| Description | 1 online resource (iii, 59 pages). |
| Numéro de catalogue |
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| Descripteurs | Fiscal policy. Debts, Public. Politique fiscale. Dettes publiques. |
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