This paper examines the pricing of public debt in a quantitative macroeconomic model with government default risk …. We analyze the conditions under which expected default risk premia can quantitatively rationalize sizeable spreads on … public bonds. Sovereign default risk premia turn out to emerge at either very high debt to output ratios, or if the variance …

stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect …This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the … fiscal theory directly depend on the conditional nominal term premium, giving rise to an optimal debt maturity policy that is …

fiscal stress in a New Keynesian model with endogenous bond risk premia. Open market debt maturity operations are non …-neutral when the slope of the nominal yield curve is nonzero in a fiscally-led policy regime. When the risk profiles of government … liabilities differ, rebalancing the maturity structure changes the government cost of capital. In the fiscal theory, changes in …

stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect …This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the … fiscal theory directly depend on the conditional nominal term premium, giving rise to an optimal debt maturity policy that is …

by EU countries and Germany or the USA contain risk premiums which increase with fiscal imbalances and depend negatively …