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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

In Search of a Theory of Debt Management

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

. Given the limited variability of the yield curve using maturities is a poor way to substitute for state contingent debt. The … making bond markets incomplete e.g allowing for transaction costs, liquidity effects, etc..Until these features are all fully …

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

Identifying the Monetary Transmission Mechanism Using Structural Breaks

Beyer, Andreas; Farmer, Roger E A - C.E.P.R. Discussion Papers - 2003

We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. We provide an application...

Persistent link: https://www.econbiz.de/10005124223

Government Debt Management: The Long and the Short of It

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

government does not buy back old bonds the puzzle disappears and the optimal bond portfolio matches the facts mentioned above …

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

Does austerity pay off?

Born, Benjamin; Müller, Gernot; Pfeifer, Johannes - C.E.P.R. Discussion Papers - 2015

We ask whether cuts of government consumption lower or raise the sovereign default premium. To address this question, we set up a new data set for 38 emerging and advanced economies which contains quarterly time-series observations for sovereign default premia, government consumption, and...

Persistent link: https://www.econbiz.de/10011168905

Fiscal Policy and Learning

Evans, George W.; Honkapohja, Seppo; Mitra, Kaushik - C.E.P.R. Discussion Papers - 2012

What is the impact of surprise and anticipated policy changes when agents form expectations using adaptive learning rather than rational expectations? We examine this issue using the standard stochastic real business cycle model with lump-sum taxes. Agents combine knowledge about future policy...

Persistent link: https://www.econbiz.de/10011083586

Policy Change and Learning in the RBC Model

Evans, George W.; Honkapohja, Seppo; Mitra, Kaushik - C.E.P.R. Discussion Papers - 2012

Persistent link: https://www.econbiz.de/10011084557

Government Risk Premiums in the Bond Market: EMU and Canada

Schuknecht, Ludger; von Hagen, Jürgen; Wolswijk, Guido - C.E.P.R. Discussion Papers - 2007

introduction of the euro. Using data for bond yield spreads relative to an appropriate benchmark, for the period 1991-2005, we find … Canadian fiscal equalization scheme have a more favourable bond market treatment than others. The evidence of market discipline … at work in European government bond markets supports the notion that the no-bailout clause in the EU Treaty is credible. …

Persistent link: https://www.econbiz.de/10005067641

What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds

Jacobs, Mike; Remolona, Eli; Wickens, Michael R. - C.E.P.R. Discussion Papers - 1998

) affine-yield model. We use a one-factor model of the real term structure based on monthly observations on two-year, five …

Persistent link: https://www.econbiz.de/10005666871

Anticipated Fiscal Policy and Adaptive Learning

Evans, George W.; Honkapohja, Seppo; Mitra, Kaushik - C.E.P.R. Discussion Papers - 2007

We consider the impact of anticipated policy changes when agents form expectations using adaptive learning rather than rational expectations. To model this we assume that agents combine limited structural knowledge with a standard adaptive learning rule. We analyze these issues using two...

Persistent link: https://www.econbiz.de/10005791639