Fiscal Policy and the Nominal Term Premium

Roman Horvath, Lorant Kaszab and Aleš Maršál

No 2019/2, MNB Working Papers from Magyar Nemzeti Bank (Central Bank of Hungary)

Abstract: We estimate a New Keynesian model on post-war US data with generalised method of moments using either constant or time-varying debt and labor income taxes. We show that accounting for government debt and distortionary taxes help the New Keynesian model match the level of the nominal term premium with a lower relative risk-aversion than typically found in the literature.

Keywords: zero-coupon bond; nominal term premium; balanced budget rule; government debt; income taxation (search for similar items in EconPapers)
JEL-codes: E13 E31 E43 E44 E62 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2019
New Economics Papers: this item is included in nep-dge, nep-mac and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://www.mnb.hu/letoltes/mnb-wp-2019-2-final-1.pdf (application/pdf)

Related works:
Journal Article: Fiscal Policy And the Nominal Term Premium (2022)
Working Paper: Fiscal Policy and the Nominal Term Premium (2019)
Working Paper: Fiscal Policy and the Nominal Term Premium (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:mnb:wpaper:2019/2

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