Fiscal Policy and the Nominal Term Premium

Roman Horvath, Lorant Kaszab and Aleš Maršál

No WP 9/2019, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: We estimate a New Keynesian model on post-war US data with generalised method of moments using either constant or time-varying debt and distortionary labor income taxes. We show that accounting for government debt and distortionary taxes help the New Keynesian model match the level of the nominal term premium with a lower relative risk-aversion than typically found in the literature.

Keywords: zero-coupon bond; nominal term premium; balanced budget rule; income taxation (search for similar items in EconPapers)
JEL-codes: E13 E31 E43 E44 E62 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2019-12
New Economics Papers: this item is included in nep-dge and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Fiscal Policy And the Nominal Term Premium (2022)
Working Paper: Fiscal Policy and the Nominal Term Premium (2019)
Working Paper: Fiscal Policy and the Nominal Term Premium (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1068

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