Managing Public Portfolios / Leo R. Aparisi de Lannoy, Anmol Bhandari, David Evans, Mikhail Golosov, Thomas J. Sargent.

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Aparisi de Lannoy, Leo R

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TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w30501.Publication details: Cambridge, Mass. National Bureau of Economic Research 2022.Description: 1 online resource: illustrations (black and white)Subject(s):

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Abstract: We develop a unified framework for optimally managing public portfolios for a class of macro-finance models that include widely-used specifications for households' risk and liquidity preferences, market structures for financial assets, and trading frictions. An optimal portfolio hedges fluctuations in interest rates, primary surpluses, liquidities and inequalities. It recognizes liquidity benefits that government debts provide and internalizes equilibrium effects of public policies on financial asset prices. We express an optimal portfolio in terms of statistics that are functions only of macro and financial market data. An application to the U.S. shows that hedging interest rate risk plays a dominant role in shaping an optimal maturity structure of government debt.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w30501 (Browse shelf(Opens below))	Not For Loan

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September 2022.

We develop a unified framework for optimally managing public portfolios for a class of macro-finance models that include widely-used specifications for households' risk and liquidity preferences, market structures for financial assets, and trading frictions. An optimal portfolio hedges fluctuations in interest rates, primary surpluses, liquidities and inequalities. It recognizes liquidity benefits that government debts provide and internalizes equilibrium effects of public policies on financial asset prices. We express an optimal portfolio in terms of statistics that are functions only of macro and financial market data. An application to the U.S. shows that hedging interest rate risk plays a dominant role in shaping an optimal maturity structure of government debt.