The US Public Debt Valuation Puzzle

被引：1

作者：

Jiang, Zhengyang ^{[1
,2
]}

Lustig, Hanno ^{[3
,4
]}

Van Nieuwerburgh, Stijn ^{[2
,5
,6
]}

Xiaolan, Mindy Z. ^{[7
]}

机构：

[1] Northwestern Univ, Kellogg Sch Management, Finance Dept, Evanston, IL 60208 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Stanford Grad Sch Business, NBER, Dept Finance, Stanford, CA USA

[4] SIEPR, Stanford, CA USA

[5] Columbia Univ, Columbia Business Sch, Dept Finance, New York, NY USA

[6] CEPR, Washington, DC USA

[7] Univ Texas Austin, McCombs Sch Business, Austin, TX USA

来源：

ECONOMETRICA | 2024年 / 92卷 / 04期

关键词：

Bond pricing; fiscal policy; term structure; convenience yield; RISK; DETERMINANTS; SUSTAINABILITY; INFLATION; MODEL;

D O I：

10.3982/ECTA20497

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The government budget constraint ties the market value of government debt to the expected present discounted value of fiscal surpluses. We find evidence that U.S. Treasury investors fail to impose this no-arbitrage restriction in the United States. Both cyclical and long-run dynamics of tax revenues and government spending make the surplus claim risky. In a realistic asset pricing model, this risk in surpluses creates a large gap between the market value of debt and its fundamental value, the PDV of surpluses, suggesting that U.S. Treasuries may be overpriced.

引用

下载

页码：1309 / 1347

页数：39

共 50 条

[1] The behavior of US public debt and deficits
Bohn, H
QUARTERLY JOURNAL OF ECONOMICS, 1998, 113 (03): : 949 - 963
[2] A debt puzzle
Laibson, D
Repetto, A
Tobacman, J
KNOWLEDGE, INFORMATION, AND EXPECTATION IN MODERN MACROECONOMICS: IN HONOR OF EDMUND S. PHELPS, 2003, : 228 - 266
[3] Using inflation to erode the US public debt
Aizenman, Joshua
Marion, Nancy
JOURNAL OF MACROECONOMICS, 2011, 33 (04) : 524 - 541
[4] The behavior of US public debt: a nonlinear perspective
Sarno, L
ECONOMICS LETTERS, 2001, 74 (01) : 119 - 125
[5] THE DETERMINANTS OF PUBLIC PENSION DEBT IN US STATES
Lim, Jae Young
TRANSYLVANIAN REVIEW OF ADMINISTRATIVE SCIENCES, 2020, (60E) : 53 - 71
[6] Exorbitant Privilege and the Sustainability of US Public Debt
Choi, Jason
Dang, Duong
Kirpalani, Rishabh
Perez, Diego j.
AEA PAPERS AND PROCEEDINGS, 2024, 114 : 143 - 147
[7] The (un)secured debt puzzle: evidence for U.S. public firmsThe (un)secured debt puzzle: evidence for U.S. public firmsK. Biguri
Kizkitza Biguri
Annals of Finance, 2025, 21 (1) : 19 - 44
[8] Debt Puzzle: A Comparative Analysis of Public Debt's Impact on Production Efficiency across OECD Countries
Al-qalawi, Usama R.
Al-Rabbaie, Arqam
ECONOMIES, 2024, 12 (07)
[9] Debt, diversification, and valuation
Ruland W.
Zhou P.
Review of Quantitative Finance and Accounting, 2005, 25 (3) : 277 - 291
[10] Public Corruption in the US States and Its Impact on Public Debt Pricing
Moldogaziev, Tima T.
Liu, Cheol
Luby, Martin J.
KYKLOS, 2017, 70 (02) : 306 - 329

← 1 2 3 4 5 →