The co-movements along the forward curve of natural gas futures: a structural view

We study the term structure implications of the fiscal theory of price level determination. We introduce the intertemporal budget constraint of the government in a general equilibrium model in continuous time. Fiscal policy is set according to a simple rule whereby taxes react proportionally to real debt. We show how to solve for the prices of real and nominal zero coupon bonds.

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Year of publication:	2008
Authors:	Spargoli, Fabrizio ; Zagaglia, Paolo
Publisher:	Helsinki : Bank of Finland
Subject:	bond pricing \| fiscal policy \| mathematical methods

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Series:	Bank of Finland Research Discussion Papers ; 26/2008
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	978-952-462-469-5
Other identifiers:	582954851 [GVK] hdl:10419/212117 [Handle] RePEc:zbw:bofrdp:rdp2008_026 [RePEc]
Classification:	G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10012148048