Appetite for Treasuries, Debt Cycles, and Fiscal Inflation
主讲人：Fei Tan (Associate Professor of Economics, Saint Louis University)
主持老师：（北大经院）王熙
参与老师：（北大经院）王一鸣、王熙、刘蕴霆
（北大国发院）沈艳、黄卓、张俊妮、孙振庭
时间：2022年11月4日（周五） 10：00-11：30
地点：经济学院107会议室
主讲人简介：
Fei Tan, Associate Professor of Economics, Saint Louis University. His research agenda is organized around three areas: macroeconomics, Bayesian statistics, and evolutionary dynamics. One line of his recent research develops frequency-domain approaches to solving dynamic incomplete information models with applications to monetary and fiscal policy. Another line develops Markov chain Monte Carlo methods for estimating high-dimensional dynamic stochastic general equilibrium models. He also conducts research on the evolution of cooperative and altruistic human behavior.
摘要：
Despite accelerating debt levels, the real yield on U.S. Treasuries remains low due to investors' desire for their extreme safety and liquidity services. Economic theory makes clear that the fiscal surplus as a proportion of the outstanding debt must average out to the real interest rate over time. Exploring these equilibrium relations in a change-point vector autoregression model, I estimate the state-dependent properties of U.S. inflation and its stance of fiscal policy that characterize long-term debt cycles. An archetypal debt cycle consists of alternating phases of persistent deficits and surpluses in tandem with alternating patterns of inflation and fiscal stance. In line with these key properties found in the data, I present a simple analytical model based on the fiscal theory of the price level where the household has a preference for holding government bonds. Determinacy admits a standard passive monetary policy coupled with a broad range of active fiscal policy. When the real interest rate falls below the economy's growth rate, permanent fiscal deficits can be sustained in the long run. The model explains why fiscal inflation has largely remained benign over the past two decades.
