The market value of U.S. government debt; Monthly, 1942–1980

Cox, W. Michael; Hirschhorn, Eric

doi:10.1016/0304-3932(83)90033-8

Cited by 41 publications

(25 citation statements)

References 3 publications

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“…Seater (1981) provides an annual series for 1919 to 1975. Cox and Hirschorn (1983) provide a monthly series between 1945 and 1980. As the latter shows these two studies arrive at highly consistent results.…”

Section: Data Appendixmentioning

confidence: 99%

“…However, the nearest published equivalent is the face value of outstanding government debt. As detailed in the Data Appendix we use the work and methods of Seater (1981), Cox and Hirschorn (1983) and Butkiewicz (1983) to construct an annual series for the market value covering the period 1900-99. However, in what follows we focus on the post-1950 period, although none of our results are seriously a¤ected by using the longer sample.…”

Section: The Behaviour Of Us Government Debtmentioning

confidence: 99%

“…Butkiewicz (1983) outlines a more time e¢cient way of calculating the series and again reveals discrepancies to be small between the alternative approaches. We therefore construct a market value series from 1919 to 1999 using a) Seater for 1919 to 1975 b) Cox andHirschorn 1976-1980 and c) extend the series to 1999 using Butkiewicz formula and OECD data, Central Government Debt Statistics. The full data is available upon request.…”

Section: Data Appendixmentioning

confidence: 99%

“…Then the above expression implies that if a shock that increases the de…cit occurs (say, government spending is high), the right side of equation (9) goes down and so does the value of debt. 16 To be more precise, consider the special case when the de…cit follows an AR(1) process 17 and 15 This expression for the value of debt is well known, but we do not know of a reference exploring its implications for the comovement of de…cit and debt. 16 Our argument pertains to business cycle ‡uctuations of de…cit and debt.…”

mentioning

confidence: 99%

“…Our argument holds for non-war periods. 17 We choose an AR(1) speci…cation here both for reasons of analytical tractability but also because using annual US data 1941-99 on the primary de…cit and standard time series methodology an ARMA(1,0) model was the preferred speci…cation constant interest rates (u c;t =1). Then (9) implies that the market value of debt is equal to…”

mentioning

confidence: 99%

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Debt and Deficit Fluctuations and the Structure of Bond Markets

Scott

Marcet

2001

SSRN Journal

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This paper tests for the market environment within which US …s-cal policy operates, that is we test for the incompleteness of the US government bond market. We document the stochastic properties of US debt and de…cits and then consider the ability of competing optimal tax models to account for this behaviour. We show that when a government pursues an optimal tax policy and issues a full set of contingent claims, the value of debt has the same or less persistence than other variables in the economy and declines in response to higher de…cit shocks. By contrast, if governments only issue one-period risk free bonds (incomplete markets), debt shows more persistence than other variables and it increases in response to expenditure shocks.

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Section: Data Appendixmentioning

confidence: 99%

Section: The Behaviour Of Us Government Debtmentioning

confidence: 99%

Section: Data Appendixmentioning

confidence: 99%

mentioning

confidence: 99%

mentioning

confidence: 99%

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Debt and Deficit Fluctuations and the Structure of Bond Markets

Scott

Marcet

2001

SSRN Journal

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On the Low-Frequency Relationship Between Public Deficits and Inflation

2015

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Summary We estimate the low‐frequency relationship between fiscal deficits and inflation and pay special attention to its potential time variation by estimating a time‐varying vector autoregression model for US data from 1900 to 2011. We find the strongest relationship neither in times of crisis nor in times of high public deficits, but from the mid 1960s up to 1980. Employing a structural decomposition of the low‐frequency relationship and further narrative evidence, we interpret our results such that the low‐frequency relationship between fiscal deficits and inflation is strongly related to the conduct of monetary policy and its interaction with fiscal policy after World War II.Copyright © 2015 John Wiley & Sons, Ltd.

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Alternative modes of deficit financing and endogneous monetary and fiscal policy in the U.S.A. 1923–1982

Turnovsky

Wohar

1987

J of Applied Econometrics

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This paper first investigates the effects of alternative modes of deficit financing on the unemployment rate, the inflation rate and the real interest rate, within the framework of a small complete macroeconomic model. Secondly, it examines the nature of monetary and fiscal reaction functions. The two periods 1923–1960 and 1961–1982 are considered, with substantial differences in behaviour and policy being shown to exist between them. The most important conclusion is that long‐run monetary neutrality properties shown to exist over the latter period are not intrinsic to the U.S. economy, but rather are the result of the stabilization policies being conducted over that period.

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The market value of U.S. government debt; Monthly, 1942–1980

Cited by 41 publications

References 3 publications

Debt and Deficit Fluctuations and the Structure of Bond Markets

Debt and Deficit Fluctuations and the Structure of Bond Markets

On the Low-Frequency Relationship Between Public Deficits and Inflation

Alternative modes of deficit financing and endogneous monetary and fiscal policy in the U.S.A. 1923–1982

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