Interest Rate Risk and Other Determinants of Post-WWII U.S. Government Debt/GDP Dynamics

35 Pages Posted: 9 Sep 2010

See all articles by George J. Hall

George J. Hall

Brandeis University - Department of Economics and International Business School; Brandeis University - Department of Economics

Thomas J. Sargent

New York University (NYU) - Department of Economics, Leonard N. Stern School of Business; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: September 7, 2010

Abstract

This paper uses a sequence of government budget constraints to motivate estimates of returns on the U.S. Federal government debt. Our estimates differ conceptually and quantitatively from the interest payments reported by the U.S. government. We use our estimates to account for contributions to the evolution of the debt-GDP ratio made by inflation, growth, and nominal returns paid on debts of different maturities.

Keywords: Holding period returns, capital gains, inflation, growth, debt-GDP ratio, government budget constraint

JEL Classification: H6, E62, C82

Suggested Citation

Hall, George J. and Sargent, Thomas J., Interest Rate Risk and Other Determinants of Post-WWII U.S. Government Debt/GDP Dynamics (September 7, 2010). Available at SSRN: https://ssrn.com/abstract=1673451 or http://dx.doi.org/10.2139/ssrn.1673451

George J. Hall (Contact Author)

Brandeis University - Department of Economics and International Business School ( email )

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HOME PAGE: http://people.brandeis.edu/~ghall

Brandeis University - Department of Economics ( email )

Waltham, MA 02454-9110
United States

Thomas J. Sargent

New York University (NYU) - Department of Economics, Leonard N. Stern School of Business ( email )

269 Mercer Street
New York, NY 10003
United States
212-998-3548 (Phone)

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
United States

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