美国公共债务估值之谜

中文摘要

政府预算约束将政府债务的市场价值与预期财政盈余的贴现现值联系起来。我们发现证据表明，美国国债投资者未能在美国市场施加这一无套利约束。税收收入和政府支出的周期性动态与长期动态均使财政盈余索取权具有风险。在一个现实的资产定价模型中，盈余中的这种风险在债务的市场价值与其基本价值（即盈余的现值）之间造成了巨大差距，这表明美国国债可能被高估。

Abstract

The government budget constraint ties the market value of government debt to the expected present discounted value of fiscal surpluses. We find evidence that U.S. Treasury investors fail to impose this no‐arbitrage restriction in the United States. Both cyclical and long‐run dynamics of tax revenues and government spending make the surplus claim risky. In a realistic asset pricing model, this risk in surpluses creates a large gap between the market value of debt and its fundamental value, the PDV of surpluses, suggesting that U.S. Treasuries may be overpriced.