债券溢价、周期性和流动性陷阱

IF 5.9 1区经济学 Q1 ECONOMICS

Review of Economic Studies Pub Date : 2023-01-17 DOI:10.1093/restud/rdad003

Sanjay R. Singh, Nicolas Caramp

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引用次数: 0

摘要

安全资产短缺会使经济陷入流动性陷阱。这些陷阱的性质是由债券溢价的周期性决定的。反周期债券溢价开启了出现预期驱动的流动性陷阱的可能性，在这种陷阱中，政府债券的小额发行挤占了私人债务，并减少了产出。相反，当债券溢价是顺周期的，经济陷入流动性陷阱时，政府债务是扩张性的。在数据中，我们发现了反周期债券溢价的证据。大规模干预可以防止出现自我实现的陷阱，但这需要足够的财政能力。在根据大衰退校准的定量模型中，将政府债务与gdp之比提高20个百分点的承诺排除了自我实现陷阱的可能性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Bond Premium Cyclicality and Liquidity Traps

Abstract Safe asset shortages can expose an economy to liquidity traps. The nature of these traps is determined by the cyclicality of the bond premium. A counter-cyclical bond premium opens the possibility of expectations-driven liquidity traps in which small issuances of government debt crowd out private debt and reduce output. In contrast, when the bond premium is pro-cyclical and the economy is in a liquidity trap, government debt is expansionary. In the data, we find evidence of a counter-cyclical bond premium. Large interventions can prevent the emergence of self-fulfilling traps, but they require sufficient fiscal capacity. In a quantitative model calibrated to the Great Recession, a promise to increase the government debt-to-GDP ratio by 20 percentage points precludes the possibility of self-fulfilling traps.

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来源期刊

Review of Economic Studies ECONOMICS-

CiteScore

10.40

自引率

3.40%

发文量

期刊介绍： Founded in 1933 by a group of young British and American economists, The Review of Economic Studies aims to encourage research in theoretical and applied economics, especially by young economists. Today it is widely recognised as one of the core top-five economics journals. The Review is essential reading for economists and has a reputation for publishing path-breaking papers in theoretical and applied economics. The Review is committed to continuing to publish strong papers in all areas of economics. The Editors aim to provide an efficient and high-quality review process to the Review''s authors. Where articles are sent out for full review, authors receive careful reports and feedback. Since 1989 The Review has held annual May Meetings to offer young students in economics and finance the chance to present their research to audiences in Europe.