Infinite Debt Rollover in Stochastic Economies
研究了在利率/增长率随机时，借款人可持续进行无限债务展期（庞氏骗局）的条件，发现相关比较应使用无限期零息债券的长期收益率，且该收益率低于短期收益率的风险中性预期。
This paper shows that there is more scope for a borrower to engage in a sustainable infinite debt rollover (a “Ponzi scheme”) when interest/growth rates are stochastic. In this context, I prove that the relevant “r vs. g” comparison uses the yield r long to an infinite‐maturity zero‐coupon bond. I show that r long is lower than the risk‐neutral expectation of the short‐term yield when it is variable, and that r long is close to the minimal realization of the short‐term yield when it is highly persistent. The paper applies these results to illustrative heterogeneous agent dynamic stochastic general equilibrium models to obtain similarly weakened sufficient conditions for the existence of public debt bubbles.