The U.S. Public Debt Valuation Puzzle
研究发现美国国债投资者未遵循政府预算约束中的无套利条件，财政盈余的风险导致国债市场价值与基本面价值存在巨大差距，暗示国债可能被高估。
The government budget constraint ties the market value of government debt to the expected present discounted value of fiscal surpluses. We find evidence that U.S. Treasury investors fail to impose this no‐arbitrage restriction in the United States. Both cyclical and long‐run dynamics of tax revenues and government spending make the surplus claim risky. In a realistic asset pricing model, this risk in surpluses creates a large gap between the market value of debt and its fundamental value, the PDV of surpluses, suggesting that U.S. Treasuries may be overpriced.