The U.S. Public Debt Valuation Puzzle

IF 6.6 1区经济学 Q1 ECONOMICS Econometrica Pub Date : 2024-07-30 DOI:10.3982/ECTA20497

Zhengyang Jiang, Hanno Lustig, Stijn Van Nieuwerburgh, Mindy Z. Xiaolan

引用次数: 0

Abstract

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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美国公共债务估值之谜

政府预算约束将政府债务的市场价值与财政盈余的预期现值贴现值联系在一起。我们发现有证据表明，美国国债投资者未能在美国实施这一无套利限制。税收收入和政府支出的周期性和长期性动态都使得盈余要求具有风险。在现实的资产定价模型中，盈余的这种风险会使债务的市场价值与其基本价值（即盈余的 PDV）之间产生巨大差距，这表明美国国债的定价可能过高。

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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来源期刊

Econometrica 社会科学-数学跨学科应用

CiteScore

11.00

自引率

3.30%

发文量

审稿时长

6-12 weeks

期刊介绍： Econometrica publishes original articles in all branches of economics - theoretical and empirical, abstract and applied, providing wide-ranging coverage across the subject area. It promotes studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking. It explores a unique range of topics each year - from the frontier of theoretical developments in many new and important areas, to research on current and applied economic problems, to methodologically innovative, theoretical and applied studies in econometrics. Econometrica maintains a long tradition that submitted articles are refereed carefully and that detailed and thoughtful referee reports are provided to the author as an aid to scientific research, thus ensuring the high calibre of papers found in Econometrica. An international board of editors, together with the referees it has selected, has succeeded in substantially reducing editorial turnaround time, thereby encouraging submissions of the highest quality. We strongly encourage recent Ph. D. graduates to submit their work to Econometrica. Our policy is to take into account the fact that recent graduates are less experienced in the process of writing and submitting papers.

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