Hilscher, Jens, Raviv, Alon and Reis, Ricardo (2021) Inflating away the public debt? An empirical assessment. Review of Financial Studies. 0 - 0. ISSN 0893-9454
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Text (Inflating away the public debt? An empirical assessment)
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Abstract
This paper proposes a new method to measure the impact of inflation on the real value of public debt. The distribution of debt debasement is based on two inputs: the distribution of privately-held nominal debt by maturity, for which we provide new estimates, and the distribution of risk-adjusted inflation dynamics, for which we provide a novel copula estimator using options data. We find that it is unlikely that inflation by itself can lower the U.S. fiscal burden significantly because debt is concentrated at short maturities and perceived inflation shocks have little short-run persistence and are small.
Item Type: | Article |
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Official URL: | https://academic.oup.com/rfs |
Additional Information: | © 2020 The Authors |
Divisions: | Economics |
Subjects: | H Social Sciences > HG Finance H Social Sciences > HJ Public Finance |
Date Deposited: | 02 Dec 2020 11:15 |
Last Modified: | 25 Feb 2021 00:14 |
URI: | http://eprints.lse.ac.uk/id/eprint/107543 |
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