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The Poor Stay Poor: Non-Convergence Across Countries and Regions

Canova, Fabio; Marcet, Albert - C.E.P.R. Discussion Papers - 1995

We study the issue of income convergence across countries and regions with a Bayesian model which allows us to use … information in an efficient and flexible way. We argue that the very slow convergence rates to a common level of per-capita income … introduces in the results. Our approach permits the estimation of different convergence rates to different steady states for each …

Persistent link: https://www.econbiz.de/10005067447

Default Risk Premia on Government Bonds in a Quantitative Macroeconomic Model

Juessen, Falko; Linnemann, Ludger; Schabert, Andreas - Tinbergen Institute - 2009

This paper examines the pricing of public debt in a quantitative macroeconomic model with government default risk. Default may occur due to a fiscal policy that does not preclude a Ponzi game. When a build-up of public debt makes this outcome inevitable, households stop lending such that the...

Persistent link: https://www.econbiz.de/10008513214

Fiscal Insurance and Debt Management in OECD Economies

Faraglia, Elisa; Marcet, Albert; Scott, Andrew - C.E.P.R. Discussion Papers - 2007

Assuming the role of debt management is to provide hedging against fiscal shocks we consider three questions: i) what indicators can be used to assess the performance of debt management? ii) how well have historical debt management policies performed? and iii) how is that performance affected by...

Persistent link: https://www.econbiz.de/10005136566

In Search of a Theory of Debt Management

Faraglia, Elisa; Marcet, Albert; Scott, Andrew - C.E.P.R. Discussion Papers - 2008

A growing literature integrates theories of debt management into models of optimal fiscal policy. One promising theory argues that the composition of government debt should be chosen so that fluctuations in the market value of debt offset changes in expected future deficits. This complete market...

Persistent link: https://www.econbiz.de/10005136601

Productive Government Expenditure in Monetary Business Cycle Models

Linnemann, Ludger; Schabert, Andreas - Tinbergen Institute - 2005

This paper assesses the transmission of fiscal policy shocks in a New Keynesian framework where government expenditures contribute to aggregate production. It is shown that even if the impact of government expenditures on production is small, this assumption helps to reconcile the models'...

Persistent link: https://www.econbiz.de/10005137177

Optimal Government Spending and Unemployment

Linnemann, Ludger; Schabert, Andreas - Tinbergen Institute - 2008

We study optimal government spending in a business cycle model with frictional unemployment. The Ramsey optimal policy is contrasted with a reference policy which would be first best in a frictionless economy. Results are: the Ramsey policy i) implies a higher steady state ratio of government...

Persistent link: https://www.econbiz.de/10005137301

Debt and Deficit Fluctuations and the Structure of Bond Markets

Marcet, Albert; Scott, Andrew - C.E.P.R. Discussion Papers - 2001

The aim of this Paper is to test for the extent of incompleteness in the market for US Government debt. We show that when a government pursues an optimal tax policy and issues a full set of contingent claims, the value of debt has the same or less persistence than other variables in the economy...

Persistent link: https://www.econbiz.de/10005067553

Government Debt Management: The Long and the Short of It

Faraglia, Elisa; Marcet, Albert; Oikonomou, Rigas; … - C.E.P.R. Discussion Papers - 2014

Our aim is to provide insights into some basic facts of US government debt management by introducing simple financial frictions in a Ramsey model of fiscal policy. We find that the share of short bonds in total U.S. debt is large, persistent, and highly correlated with total debt. A well known...

Persistent link: https://www.econbiz.de/10011096106

The Impact of Debt Levels and Debt Maturity on Inflation

Faraglia, Elisa; Marcet, Albert; Oikonomou, Rigas; … - C.E.P.R. Discussion Papers - 2012

In the context of a sticky price DSGE model subject to government expenditure and preference shocks where governments issue only nominal non-contingent bonds we examine the implications for optimal inflation of changes in the level and average maturity of government debt. We analyse these...

Persistent link: https://www.econbiz.de/10011083281

Modelling Long Bonds - The Case of Optimal Fiscal Policy

Faraglia, Elisa; Marcet, Albert; Scott, Andrew - C.E.P.R. Discussion Papers - 2014

We show how to model portfolio models in the presence of long bonds. Specifically we study optimal fiscal policy under incomplete markets where the government issues bonds of maturity N 1. Assuming the existence of long bonds introduces an additional intertemporal mechanism that makes taxes...

Persistent link: https://www.econbiz.de/10011083295