公共投资组合管理
Managing Public Portfolios
Journal of Political Economy · 2025 · [{"name": "Léo Aparisi de Lannoy", "affiliation": []}, {"name": "Anmol Bhandari", "affiliation": []}, {"name": "David Evans", "affiliation": []}, {"name": "Mikhail Golosov", "affiliation": []}, {"name": "Thomas J. Sargent", "affiliation": []}]
中文摘要
我们在一类宏观金融模型中研究最优公共投资组合，该类模型涵盖了家庭风险与流动性偏好、金融资产市场结构以及交易摩擦等广泛使用的设定。最优投资组合可对冲利率、基本盈余和收入不平等的波动。我们以仅依赖于宏观和金融市场数据的统计量来表示最优投资组合。应用于美国数据的分析表明，对冲利率风险在塑造美国政府债务的最优期限结构中起着主导作用。
Abstract
We study optimal public portfolios in a class of macro-finance models that includes widely used specifications of households’ risk and liquidity preferences, market structures for financial assets, and trading frictions. An optimal portfolio hedges fluctuations in interest rates, primary surpluses, and income inequalities. We express an optimal portfolio in terms of statistics that are functions only of macro and financial market data. An application to US data shows that hedging interest rate risk plays a dominant role in shaping an optimal maturity structure of US government debt.