Government Debt Management: The Long and the Short of It
标准模型主张多发长期债券、少发短期债券，但与美国数据不符。本文引入小额交易成本使模型更贴近现实：短期债券发行量大且持久，长短债正相关，长期债券平滑不同状态下的税收，短期债券平滑时间上的税收。
Abstract Standard optimal Debt Management (DM) models prescribe a dominant role for long bonds and advocate against issuing short bonds. They require very large positions in order to complete markets and assume each period that governments repurchase all outstanding bonds and reissue (r/r) new ones. These features of DM are inconsistent with U.S. data. We introduce incomplete markets via small transaction costs which serves to make optimal DM more closely resemble the data : r/r are negligible, short bond issuance substantial and persistent and short and long bonds positively co-vary. Intuitively, long bonds help smooth taxes over states and short bonds over time. Solving incomplete market models with multiple assets is challenging so a further contribution of this article is introducing a novel computational method to find global solutions.