{"title":"政府债务的流动性溢价与价格水平的财政理论","authors":"Aleksander Berentsen, Christopher J. Waller","doi":"10.20955/wp.2017.008","DOIUrl":null,"url":null,"abstract":"We construct a dynamic general equilibrium model where agents use nominal government bonds as collateral in secured lending arrangements. If the collateral constraint binds, agents price in a liquidity premium on bonds that lowers the real rate on bonds. In equilibrium, the price level is determined according to the fiscal theory of the price level. However, the market value of government debt exceeds its fundamental value. We then examine the dynamic properties of the model and show that the market value of the government debt can fluctuate even though there are no changes to current or future taxes or spending. The price dynamics are driven solely by the liquidity premium on the debt.","PeriodicalId":51713,"journal":{"name":"Federal Reserve Bank of St Louis Review","volume":null,"pages":null},"PeriodicalIF":2.9000,"publicationDate":"2017-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"14","resultStr":"{\"title\":\"Liquidity Premiums on Government Debt and the Fiscal Theory of the Price Level\",\"authors\":\"Aleksander Berentsen, Christopher J. Waller\",\"doi\":\"10.20955/wp.2017.008\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We construct a dynamic general equilibrium model where agents use nominal government bonds as collateral in secured lending arrangements. If the collateral constraint binds, agents price in a liquidity premium on bonds that lowers the real rate on bonds. In equilibrium, the price level is determined according to the fiscal theory of the price level. However, the market value of government debt exceeds its fundamental value. We then examine the dynamic properties of the model and show that the market value of the government debt can fluctuate even though there are no changes to current or future taxes or spending. The price dynamics are driven solely by the liquidity premium on the debt.\",\"PeriodicalId\":51713,\"journal\":{\"name\":\"Federal Reserve Bank of St Louis Review\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2017-03-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"14\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Federal Reserve Bank of St Louis Review\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.20955/wp.2017.008\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Federal Reserve Bank of St Louis Review","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.20955/wp.2017.008","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Liquidity Premiums on Government Debt and the Fiscal Theory of the Price Level
We construct a dynamic general equilibrium model where agents use nominal government bonds as collateral in secured lending arrangements. If the collateral constraint binds, agents price in a liquidity premium on bonds that lowers the real rate on bonds. In equilibrium, the price level is determined according to the fiscal theory of the price level. However, the market value of government debt exceeds its fundamental value. We then examine the dynamic properties of the model and show that the market value of the government debt can fluctuate even though there are no changes to current or future taxes or spending. The price dynamics are driven solely by the liquidity premium on the debt.
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