TY  - UNPD
A1  - Corhay, Alexandre
A1  - Kind, Thilo
A1  - Kung, Howard
A1  - Morales, Gonzalo
T1  - Discount rates, debt maturity, and the fiscal theory
T2  - SAFE working paper ; No. 323
N2  - 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.
T3  - SAFE working paper - 323 
KW  - erm structure of interest rates
KW  - Fiscal theory of the price level
KW  - Bond risk premia
KW  - Government debt
KW  - DSGE models
KW  - Nonlinear solution methods
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/61637
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-616375
UR  - https://ssrn.com/abstract=3940955
IS  - July 2021
PB  - SAFE
CY  - Frankfurt am Main
ER  -