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  1. Government debt management and inflation with real and nominal bonds
    Autor*in: Schmid, Lukas; Valaitis, Vytautas; Villa, Alessandro T.
    Erschienen: [2022]
    Verlag:  Federal Reserve Bank of Chicago, [Chicago, Illinois]

    In the wake of rising inflation in the aftermath of unprecedented debt financed stimulus packages, we ask: Can governments use real bonds (TIPS) as part of their debt portfolio to commit to stable inflation rates? We propose a novel framework of... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 244
    Fernleihe:
    keine Fernleihe

     

    In the wake of rising inflation in the aftermath of unprecedented debt financed stimulus packages, we ask: Can governments use real bonds (TIPS) as part of their debt portfolio to commit to stable inflation rates? We propose a novel framework of optimal debt management in the presence of sticky prices with a government that can issue nominal and real non state-contingent bonds. Nominal debt can be inflated away giving ex-ante flexibility, whereas real bonds are cheaper but constitute a real commitment ex-post. Under Full Commitment, the government chooses a leveraged portfolio of nominal liabilities and real assets to use inflation effectively to smooth fiscal policy. When the government cannot commit to future policies, it reduces borrowing costs ex ante using real debt strategically to mitigate incentives for the future government to monetize debt ex-post. Without commitment, the policies are quantitatively consistent with US data, suggesting that such a framework realistically captures the relevant constraints governments face.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/267978
    Schriftenreihe: [Working paper] / Federal Reserve Bank of Chicago ; WP 2022, 28 (June 2022)
    Schlagworte: Optimal Fiscal Policy; Optimal Debt Management; TIPS; Incomplete Markets; Inflation; Inflation Risk Premia; Monetary Policy; Machine Learning; Time Inconsistency
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  2. Government debt management and inflation with real and nominal bonds
    Autor*in: Schmid, Lukas; Valaitis, Vytautas; Villa, Alessandro T.
    Erschienen: March 2024
    Verlag:  [London School of Economics and Political Science], [London, UK]

    Zugang:
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: [CFM discussion paper series] ; [CFM-DP 2024, 13]
    Schlagworte: Optimal Fiscal Policy; Monetary Policy; Debt Management; TIPS; Incomplete Markets; Inflation; Limited Commitment; Time-consistency; Markov-perfect Equilibria
    Umfang: 1 Online-Ressource (circa 72 Seiten)
  3. A machine learning projection method for macro-finance models
    Autor*in: Valaitis, Vytautas; Villa, Alessandro T.
    Erschienen: [2022]
    Verlag:  Federal Reserve Bank of Chicago, [Chicago, Illinois]

    This paper develops a simulation-based solution method to solve large state space macrofinance models using machine learning. We use a neural network (NN) to approximate the expectations in the optimality conditions in the spirit of the stochastic... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 244
    Fernleihe:
    keine Fernleihe

     

    This paper develops a simulation-based solution method to solve large state space macrofinance models using machine learning. We use a neural network (NN) to approximate the expectations in the optimality conditions in the spirit of the stochastic parameterized expectations algorithm (PEA). Because our method can process the entire information set at once, it is scalable and can handle models with large and multicollinear state spaces. We demonstrate the computational gains by extending the optimal government debt management problem studied by Faraglia et al. (2019) from two to three maturities. We find that the optimal policy prescribes an active role for the newly added medium-term maturity, enabling the planner to raise financial income without increasing its total borrowing in response to expenditure shocks. Through this mechanism the government effectively subsidizes the private sector in recessions, resulting in a welfare gain of 2.38% when the number of available maturities increases from two to three.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/264333
    Schriftenreihe: [Working paper] / Federal Reserve Bank of Chicago ; WP 2022, 19 (November 18, 2021)
    Schlagworte: Machine Learning; Incomplete Markets; Projection Methods; Optimal Fiscal Policy; Maturity Management
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen