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Manufacturing risk-free government debt
Jiang, Zhengyang; Lustig, Hanno; Nieuwerburgh, Stijn van; … - 2021
Governments face a trade-off between insuring bondholders and taxpayers. If the government fully insures bondholders by manufacturing risk-free zero-beta debt, then it cannot also insure taxpayers against permanent macroeconomic shocks over long horizons. Instead, taxpayers will pay more in...
Persistent link: https://www.econbiz.de/10012437854
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FTPL and the maturity structure of government debt in the New-Keynesian model
Liemen, Max Ole; Posch, Olaf - 2022
In this paper, we revisit the fiscal theory of the price level (FTPL) within the New Keynesian (NK) model. We show in … which cases the average maturity of government debt matters for the transmission of policy shocks. The central task of this … paper is to shed light on the theoretical predictions of the maturity structure on macro dynamics with an emphasis on model …
Persistent link: https://www.econbiz.de/10013285610
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Managing debt stability
Bacchiocchi, Emanuele (contributor);  … - 2005
two decades. The empirical evidence suggests that the public debt should have a long maturity and a large share of it …
Persistent link: https://www.econbiz.de/10002576712
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Debt maturity without commitment
Niepelt, Dirk - 2008
I analyze how lack of commitment affects the maturity structure of sovereign debt. Governments balance benefits of …-term debt affects default and rollover decisions by subsequent policy makers. The equilibrium maturity structure is shaped by … maturity structure with positive gross positions and a shortening of the maturity structure when debt issuance is high, output …
Persistent link: https://www.econbiz.de/10003803574
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Does debt maturity matter for investment decisions?
Nam, Chang-woon; Radulescu, Doina - 2004
In the conventional literature related to investment decisions, less attention has been paid to the length of maturity … cost at the end of the borrowing period. In this study, the effects of selecting different maturity years on firms … suggest that (1) ceteris paribus an optimum maturity year appears to exist that maximises the NVP, and (2) the change of …
Persistent link: https://www.econbiz.de/10011402695
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Asset pricing with uncertain betas : a long-term perspective
Gollier, Christian - 2013
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
Persistent link: https://www.econbiz.de/10009691703
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Diversification, risk aversion and expectation in a holdout scenario
Eggert, Wolfgang; Stephan, Maximilian; Temme, Janine; … - 2015 - Version 2015/10/09
We argue a holdout is not a destructive investor behaviour but a rational investment decision. This investment decision is characterised by the mean-variance approach. We investigate intercreditor conflict by diverse portfolio structure. We demonstrate that at some point during the Greek (2012)...
Persistent link: https://www.econbiz.de/10011343761
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Debt stabilization and debt mutualization in a monetary union with endogenous risk premia
Engwerda, Jacob Christiaan; Aarle, Bas van; Weeren, … - 2015
In this paper we analyse debt stabilization in a monetary union that features endogenous risk premia. In particular, we analyse debt stabilization in two diametrically opposed regimes. In the first regime, the "national fiscal discipline regime", financial markets impose sovereign risk premia...
Persistent link: https://www.econbiz.de/10011350136
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Debt as safe asset
Brunnermeier, Markus Konrad; Merkel, Sebastian; … - 2021
The price of a safe asset reflects not only the expected discounted future cash flows but also future service flows, since retrading allows partial insurance of idiosyncratic risk in an incomplete markets setting. This lowers the issuers’ interest burden and allows the government to run a...
Persistent link: https://www.econbiz.de/10012797027
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Long-term interest rates and public debt maturity
Sakalauskaite, Ieva; Beetsma, Roel; Giuliodori, Massimo - 2013
the maturity of the public debt by one year lowers its long-term interest rate by around 20-30 basis points. This effect …
Persistent link: https://www.econbiz.de/10010189835