最佳 GDP 指数债券

IF 2.3 3区经济学 Q2 ECONOMICS

Review of Economic Dynamics Pub Date : 2023-12-01 DOI:10.1016/j.red.2023.08.002

Yasin Kürşat Önder

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引用次数: 0

摘要

我研究了在定量违约模型中引入 GDP 指数债券作为政府借贷的额外来源。将债务支付与国内生产总值的发展挂钩的想法在 20 世纪 80 年代的债务危机中再次出现，并在 COVID-19 爆发时达到顶峰。我的研究表明，这一想法的收益取决于基本的指数化方法，如果债务支付与国内生产总值的发展对称挂钩，则收益最高。经过优化的指数化债务可以消除违约风险，将消费波动减半，提高资产价格，同时提高政府的债务余额。之所以会出现这些变化，是因为优化选择的指数化方法能更好地完善市场。

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Optimal GDP-indexed bonds

I investigate the introduction of GDP-indexed bonds as an additional source of government borrowing in a quantitative default model. The idea of linking debt payments to developments in GDP resurfaced with the 1980s debt crisis and peaked with the COVID-19 outbreak. I show that the gains from this idea depend on the underlying indexation method and are highest if payments are symmetrically tied to developments in GDP. Optimized indexed debt can eradicate default risk, halve consumption volatility, and increase asset prices while raising the government's debt balances. These changes occur because an optimally chosen indexation method does a better job at completing the markets.

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来源期刊

Review of Economic Dynamics ECONOMICS-

CiteScore

3.30

自引率

0.00%

发文量

期刊介绍： Review of Economic Dynamics publishes meritorious original contributions to dynamic economics. The scope of the journal is intended to be broad and to reflect the view of the Society for Economic Dynamics that the field of economics is unified by the scientific approach to economics. We will publish contributions in any area of economics provided they meet the highest standards of scientific research.