演講者簡介 : Professor Kocherlakota received his Ph.D. in Economics from the University of Chicago in 1987. He is currently the Lionel W. McKenzie Professor of Economics at University of Rochester. His current research is on monetary policy.
演講摘要 : 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 rlong to an infinite-maturity zero-coupon bond. I show that rlong is lower than the (risk-neutral) expectation of the short-term yield when it is variable, and that rlong 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 weak sufficient conditions for the existence of public debt bubbles.
