Convenience Yield, Inflation Expectations, and Public Debt Growth
研究了长期国债便利收益率与通胀预期的负相关关系，发现通胀预期可预测未来债务与GDP之比增长，并通过包含内生财政政策的宏观金融模型解释了这一现象。
Abstract We present new facts on how convenience yields fluctuate with macroeconomic variables and fiscal policy: the convenience yield of long-term Treasuries is negatively correlated with inflation expectations, and inflation expectations predict future debt-to-GDP growth. To rationalize these findings, we incorporate the convenience yield into a macro-finance model with endogenous fiscal policy. The government finances deficit shocks partially through higher inflation and partially through more future borrowing, which reduces the convenience yield today. The feedback loop between the convenience yield and future debt supply amplifies the effect of fiscal shocks. We further verify this channel using empirically constructed exogenous deficit shocks.