Details

Autor(en) / Beteiligte

• Bhandari, Anmol
• Evans, David
• Golosov, Mikhail
• Sargent, Thomas J.

Titel

FISCAL POLICY AND DEBT MANAGEMENT WITH INCOMPLETE MARKETS

Ist Teil von

• The Quarterly journal of economics, 2017-05, Vol.132 (2), p.617-663

Ort / Verlag

Oxford: Oxford University Press

Erscheinungsjahr

2017

Link zum Volltext

Quelle

EBSCOhost Business Source Ultimate

Beschreibungen/Notizen

• A Ramsey planner chooses a distorting tax on labor and manages a portfolio of securities in an economy with incomplete markets. We develop a method that uses second order approximations of Ramsey policies to obtain formulas for conditional and unconditional moments of government debt and taxes that include means and variances of the invariant distribution as well as speeds of mean reversion. The asymptotic mean of the planner’s portfolio minimizes a measure of fiscal risk. We obtain analytic expressions that approximate moments of the invariant distribution and apply them to data on a primary government deficit, aggregate consumption, and returns on traded securities. For U.S. data, we find that the optimal target debt level is negative but close to zero, the invariant distribution of debt is very dispersed, and mean reversion is slow.