Debt and deficit fluctuations and the structure of bond markets
We analyse the implications of optimal taxation for the stochastic behaviour of debt. We show that when a government pursues an optimal fiscal policy under complete markets, the value of debt has the same or less persistence than other variables in the economy and it declines in response to shocks t...
| Autores: | , |
|---|---|
| Tipo de recurso: | artículo |
| Fecha de publicación: | 2009 |
| País: | España |
| Institución: | Consejo Superior de Investigaciones Científicas (CSIC) |
| Repositorio: | DIGITAL.CSIC. Repositorio Institucional del CSIC |
| OAI Identifier: | oai:digital.csic.es:10261/57580 |
| Acceso en línea: | http://hdl.handle.net/10261/57580 |
| Access Level: | acceso abierto |
| Palabra clave: | jel:E62 jel:H62 |
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Debt and deficit fluctuations and the structure of bond marketsMarcet, AlbertScott, Andrewjel:E62jel:H62We analyse the implications of optimal taxation for the stochastic behaviour of debt. We show that when a government pursues an optimal fiscal policy under complete markets, the value of debt has the same or less persistence than other variables in the economy and it declines in response to shocks that cause the deficit to increase. By contrast, under incomplete markets debt shows more persistence than other variables and it increases in response to shocks that cause a higher deficit. Data for US government debt reveals diametrically opposite results from those of complete markets and is much more supportive of bond market incompleteness. © 2008 Elsevier Inc. All rights reserved.This work was sponsored by H.M. Treasury and the ESRC’s Evolving Macroeconomy program. Marcet’s research was funded in part by CREI, DGES, CREA program of “Barcelona Economics” and CIRIT.Peer ReviewedElsevier2012201220092012info:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_6501http://hdl.handle.net/10261/57580reponame:DIGITAL.CSIC. Repositorio Institucional del CSICinstname:Consejo Superior de Investigaciones Científicas (CSIC)Inglésinfo:eu-repo/semantics/openAccessoai:digital.csic.es:10261/575802026-05-22T06:33:51Z |
| dc.title.none.fl_str_mv |
Debt and deficit fluctuations and the structure of bond markets |
| title |
Debt and deficit fluctuations and the structure of bond markets |
| spellingShingle |
Debt and deficit fluctuations and the structure of bond markets Marcet, Albert jel:E62 jel:H62 |
| title_short |
Debt and deficit fluctuations and the structure of bond markets |
| title_full |
Debt and deficit fluctuations and the structure of bond markets |
| title_fullStr |
Debt and deficit fluctuations and the structure of bond markets |
| title_full_unstemmed |
Debt and deficit fluctuations and the structure of bond markets |
| title_sort |
Debt and deficit fluctuations and the structure of bond markets |
| dc.creator.none.fl_str_mv |
Marcet, Albert Scott, Andrew |
| author |
Marcet, Albert |
| author_facet |
Marcet, Albert Scott, Andrew |
| author_role |
author |
| author2 |
Scott, Andrew |
| author2_role |
author |
| dc.subject.none.fl_str_mv |
jel:E62 jel:H62 |
| topic |
jel:E62 jel:H62 |
| description |
We analyse the implications of optimal taxation for the stochastic behaviour of debt. We show that when a government pursues an optimal fiscal policy under complete markets, the value of debt has the same or less persistence than other variables in the economy and it declines in response to shocks that cause the deficit to increase. By contrast, under incomplete markets debt shows more persistence than other variables and it increases in response to shocks that cause a higher deficit. Data for US government debt reveals diametrically opposite results from those of complete markets and is much more supportive of bond market incompleteness. © 2008 Elsevier Inc. All rights reserved. |
| publishDate |
2009 |
| dc.date.none.fl_str_mv |
2009 2012 2012 2012 |
| dc.type.none.fl_str_mv |
info:eu-repo/semantics/article http://purl.org/coar/resource_type/c_6501 |
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article |
| dc.identifier.none.fl_str_mv |
http://hdl.handle.net/10261/57580 |
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http://hdl.handle.net/10261/57580 |
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Inglés |
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Inglés |
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info:eu-repo/semantics/openAccess |
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openAccess |
| dc.publisher.none.fl_str_mv |
Elsevier |
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Elsevier |
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reponame:DIGITAL.CSIC. Repositorio Institucional del CSIC instname:Consejo Superior de Investigaciones Científicas (CSIC) |
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Consejo Superior de Investigaciones Científicas (CSIC) |
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DIGITAL.CSIC. Repositorio Institucional del CSIC |
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DIGITAL.CSIC. Repositorio Institucional del CSIC |
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1869425363977764864 |
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15,81155 |