Se encontraron 5 investigaciones
We study the optimal control of a government stabilization fund, which is a mechanism to save money during good economic times to be used in bad economic times. The objective of the fund manager is to keep the fund as close as possible to a predetermined target. Accordingly, we consider a running cost associated with the difference between the actual fiscal fund and the fund target. The fund manager exerts control over the fund by making deposits in or withdrawals from the fund. The withdrawals are used to pay public debt or to finance government programs. We obtain, for the first time in the literature, the optimal band for the government stabilization fund. Our results are of interest to practitioners. For instance, we find that the higher the volatility, the larger the size of the optimal band. In particular, each country and state should have its own optimal fund band, in contrast to the ¿one-size-fits-all¿ approach that is often used in practice.
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This work is motivated by the debt crises in the world and the proposal of the Greek government to issue GDP-linked bonds. We consider a model with economic cycles in which a government wants to control its debt by imposing a debt ceiling. If the government has debt in GDP-linked bonds only, we find that the optimal debt ceiling is higher in a recession than in an expansion. If the government has debt in regular bonds only, then the optimal debt ceiling in a recession can be higher or lower than that in an expansion depending on the characteristics of the country. In addition, we find that if a country is going through a recession, overall the government will be better off with debt in GDP-linked bonds than debt in regular bonds.
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Este proyecto se enmarca dentro de la nueva Carrera de Finanzas. Publicar un libro de Matemáticas para las Finanzas tiene dos objetivos. En primer lugar, ayudar al aprendizaje del curso Matemáticas para las Finanzas. En segundo lugar, presentar la nueva Carrera de Finanzas en el ámbito nacional e internacional como una especialidad que estudia rigurosamente los temas cuantitativos y los aplica al mundo real.
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Motivated by the current debt crisis in USA and some European countries, we develop a government debt management model to study the optimal debt ceiling when the ability of the government to generate primary surpluses to reduce the debt ratio is limited. We succeed in finding an explicit analytic solution for the optimal debt ceiling, and an explicit optimal debt policy based on it. We study the conditions under which a country is not able to reduce its debt ratio to reach its optimal debt ceiling, even in the long run. In addition, this model with bounded intervention is consistent with the fact that, in reality, countries that succeed in reducing their debt ratio do not do so immediately, but over some period of time. To the best of our knowledge, this is the first theoretical model on the debt ceiling that accounts for those empirical facts.
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We study the optimal management of a government stabilization fund, which is a mechanism to save money in the good economic times to be used in the bad economic times. The objective of the fund manager is to keep the fund as close as possible to a predetermined target. Accordingly, we consider a running cost associated with the discrepancy between the actual fiscal fund and the fund target. The fund manager exerts control over the fund by making deposits in or withdrawals from the fund. For the first time in the literature, we find the optimal band for the fiscal stabilization fund. Our results are of interest to practitioners. For instance, we find that the higher the volatility, the larger the size of the optimal band. In particular, each country should have its own optimal fund band.
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