Public Debt, Consumption Growth, and the Slope of the Term Structure
研究发现债务GDP比率能负向预测未来十年名义消费增长，原因是该比率预示更低通胀和实际增长；同时该比率与收益率利差正相关，模型用财政风险解释国债市场现象。
Abstract The debt-to-GDP ratio negatively predicts cumulative nominal consumption growth up to a 10-year horizon, resulting from the ratio’s ability to forecast lower inflation and real growth. Moreover, the debt-to-GDP ratio is positively associated with yield spreads. I rationalize these facts in a model in which positive shocks to government debt cause lower inflation and growth, making bonds attractive assets. Furthermore, because longer-term bonds are less exposed to current debt shock than are shorter-term bonds, they are better hedges, resulting in high yield spreads in high-debt states. The model highlights the importance of fiscal risk in understanding the Treasury bond market. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.