QE in the fiscal theory : a risk-based view

Alexandre Corhay, Howard Kung, Gonzalo Morales

This paper explores the interactions between yield curve dynamics and nominal government debt maturity operations under 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 discount rates affect inflation through the intertemporal government budget equation. When the yield curve is upward-sloping (downward-sloping), the fiscal discount rate channel implies that shortening the maturity structure dampens (amplifies) the stimulative effects of quantitative easing policies

MoreLess

Year of publication:	June 2017
Authors:	Corhay, Alexandre ; Kung, Howard ; Morales, Gonzalo
Publisher:	[Toronto] : [University of Toronto - Rotman School of Management]
Subject:	Fiscal Theory of the Price Level \| Government Debt \| Maturity Structure \| Inflation \| Bond Risk Premia \| Markov-Switching DSGE \| Nonlinear Solution Methods \| Time-Varying Risk Premia \| Risikoprämie \| Risk premium \| Theorie \| Theory \| Finanzpolitik \| Fiscal policy \| Öffentliche Schulden \| Public debt \| Finanzwissenschaft \| Public economics \| Öffentliche Anleihe \| Public bond \| Preisniveau \| Price level \| Geldpolitik \| Monetary policy \| Anleihe \| Bond \| Markov-Kette \| Markov chain

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10011721588