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.
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页码：1309 / 1347
页数：39
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