Optimal public debt indexation in advanced economies
研究了发达经济体通胀挂钩债务占比的跨国差异，发现最优比例取决于通胀水平与波动、政府支出与通胀的相关性以及名义债务的便利溢价，模型预测与1995-2018年14个经济体的数据一致。
Abstract This article examines the cross-country heterogeneity in the share of advanced economies’ inflation-linked (IL) debt when governments, taking inflation as given, issue IL debt and nominal debt and aim to minimize tax distortions, debt investors are risk-neutral, and nominal debt carries a convenience premium. The optimal IL debt share increases in the level and the variance of inflation, decreases in the correlation between government spending and inflation, and, for a fixed level of debt, decreases in the nominal debt’s convenience premium. Data between 1995 and 2018 for 14 advanced economies that issue IL debt exhibit cross-country correlations in line with the model’s comparative statics about inflation. The model’s welfare analysis suggests that nominal debt’s convenience premium can explain the relatively low public debt indexation in most advanced economies.