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Faculté et Recherche

The U.S. Public Debt Valuation Puzzle - Hanno LUSTIG

04 juin
2020
14H00
Jouy-en-Josas
Anglais

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2020-06-04T14:00:00 2020-06-04T15:15:00 The U.S. Public Debt Valuation Puzzle - Hanno LUSTIG Finance Speaker : Hanno LUSTIG Videoconference Jouy-en-Josas

Finance

Speaker : Hanno LUSTIG

Videoconference

The government budget constraint ties the market value of government debt to the expected present discounted value of fiscal surpluses. Bond investors fail to impose this no-arbitrage restriction in the U.S., resulting in a government debt valuation puzzle. Both cyclical and long-run dynamics of tax revenues and government spending make the surplus claim risky. Under a realistic asset pricing model, this risk in surpluses creates a wedge of 287% of GDP between the value of debt and that the surplus claim, and implies an expected return on the debt portfolio that far exceeds the observed yield on Treasuries.

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2020-06-04T14:00:00 2020-06-04T15:15:00 The U.S. Public Debt Valuation Puzzle - Hanno LUSTIG Finance Speaker : Hanno LUSTIG Videoconference Jouy-en-Josas