Fiscal policy and the nominal term premium

Roman Horvath, Lorant Kaszab, Ales Marsal

We estimate a New Keynesian model on post-war US data with generalised method of moments using either constant or time- varying debt and labor income taxes. We show that accounting for government debt and distortionary taxes help the New Keynesian model match the level of the nominal term premium with a lower relative risk-aversion than typically found in the literature.

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Alternative title:	Fiskális politika és a hozam-kockázati prémium
Year of publication:	September 2019
Authors:	Horváth, Roman ; Kaszab, Lorant ; Marsal, Ales
Publisher:	Budapest : Magyar Nemzeti Bank
Subject:	Zero-coupon bond \| nominal term premium \| balanced budget rule \| government debt \| income taxation \| Finanzpolitik \| Fiscal policy \| Zinsstruktur \| Yield curve \| Öffentliche Schulden \| Public debt \| Haushaltskonsolidierung \| Fiscal consolidation \| Theorie \| Theory \| Zero-Bond \| Risikoprämie \| Risk premium \| Zins \| Interest rate

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Extent:	1 Online-Ressource (circa 32 Seiten) Illustrationen
Series:	MNB working papers. - Budapest : [Verlag nicht ermittelbar], ISSN 1585-5600, ZDB-ID 2223708-2. - Vol. 2019, 2
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Zusammenfassung in ungarischer Sprache
Other identifiers:	hdl:10419/224097 [Handle]
Classification:	E13 - Neoclassical ; E31 - Price Level; Inflation; Deflation ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; E62 - Fiscal Policy; Public Expenditures, Investment, and Finance; Taxation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012060902