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- Title
Inflating Away the Public Debt? An Empirical Assessment.
- Authors
Hilscher, Jens; Raviv, Alon; Reis, Ricardo
- Abstract
This paper proposes a new method for measuring the impact of inflation on the real value of public debt. The distribution of debt debasement is based on two inputs: the distribution of privately held nominal debt by maturity, for which we provide new estimates, and the distribution of risk-adjusted inflation dynamics, for which we provide a novel copula estimator using options data. We find that inflation by itself is unlikely to lower the U.S. fiscal burden significantly because debt is concentrated at short maturities and perceived inflation shocks have little short-run persistence and are small.
- Subjects
PUBLIC debts; PRICE inflation; MATURITY (Finance); OPTIONS (Finance); ECONOMIC impact analysis
- Publication
Review of Financial Studies, 2022, Vol 35, Issue 3, p1553
- ISSN
0893-9454
- Publication type
Article
- DOI
10.1093/rfs/hhab018