Fiscal Policy, Public Debt and the Term Structure of Interest Rates

Häftad, Engelska, 1999

Del 476 i serien Lecture Notes in Economics and Mathematical Systems

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Beskrivning

The book discusses the dynamic interactions between fiscal policy and financial markets in a setting of stochastic growth and general equilibrium. In so doing, two important strands of literature are integrated: macroeconomic dynamics and mathematical finance. This enables the development of the dynamics of important financial market variables completely within the model, thus freeing the analyst from arbitrarily assuming them. Moreover, it becomes possible to analyze the influence of fiscal policy on interest rate dynamics explicitly. The effect of the interest rate dynamics on the evolution of growth and the feedback effects between public debt and interest rate dynamics are also examined in detail.

Produktinformation

Utgivningsdatum:1999-09-17
Mått:155 x 235 x 17 mm
Vikt:452 g
Format:Häftad
Språk:Engelska
Serie:Lecture Notes in Economics and Mathematical Systems
Antal sidor:282
Upplaga:1999
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783540662433

Utforska kategorier

Finansiering inom Ekonomi och Ledarskap

Innehållsförteckning

1 Introduction.- 1.1 Motivation.- 1.2 Brief review of the literature.- 1.3 General discussion of the basic model assumptions.- 1.4 Structure of the thesis 22 Appendix 1.1 25 Appendix 1.2 28 Appendix 1.3.- 2 The basic deterministic macroeconomic model.- 2.1 Introduction.- 2.2 Basic structure of the economy and the financial market.- 2.3 Decision problem of the representative household.- 2.4 Fiscal policy.- 2.5 General equilibrium.- 2.6 Capital accumulation, viability and economic growth.- 2.7 Public debt and deficit dynamics.- 2.8 Short summary 56 Appendix 2.1.- Appendix 2.2.- Appendix 2.3.- Appendix 2.4.- Appendix 2.5.- 3 The basic stochastic macroeconomic model and the short-term interest rate dynamics.- 3.1 Introduction.- 3.2 Basic structure of the economy and the financial market.- 3.3 Decision problem of the representative household.- 3.4 Fiscal policy.- 3.5 Stochastic general equilibrium.- 3.6 Stochastic dynamics and boundary behavior of the short-term interest rate.- 3.7 Transitional and asymptotic analysis of the short-term interest rate.- 3.8 Short summary.- Appendix 3.1.- Appendix 3.2.- Appendix 3.3.- Appendix 3.4.- Appendix 3.5.- Appendix 3.6.- Appendix 3.7.- Appendix 3.8.- 4 Term structure of interest rates and fiscal policy.- 4.1 Introduction.- 4.2 Derivation and discussion of the bond price valuation quation.- 4.3 Term structure and fiscal policy analysis.- 4.4 A numerical example.- 4.5 Short summary.- Appendix 4.1.- 5 Economic growth and fiscal policy.- 5.1 Introduction.- 5.2 Local and global behavior of the capital output ratio and implications for economic growth.- 5.3 Short and long run effects of fiscal policy and interest rates on capital output and growth.- 5.4 Short summary.- Appendix 5.1.- Appendix 5.2.- 6 Public debt dynamics.- 6.1 Introduction.-6.2 Local and global behavior of the debt ratio.- 6.3 Short and long run effects of fiscal policy and interest rates on the debt ratio.- 6.4 Short summary.- Appendix 6.1.- 7 Summary, conclusions and outlook on future research.- 7.1 Summary of the main results.- 7.2 Assessment of the model results.- 7.2.1 A first step to close the gap between macroeconomics and finance literature.- 7.3 Outlook on future research.- 7.3.1 Suggestions for empirical applications.- 7.3.2 Suggestions for theoretical extensions.- A General appendix 1: Brownian motion and stochastic integration.- 1.1 Brownian motion.- 1.2 Stochastic integration: The Ito integral.- B General appendix 2: Stochastic differential equations and diffusion processes.- 2.1 Stochastic differential equations.- 2.2 Diffusion processes.- C General appendix 3: Stochastic optimization and dynamic programming.