Template-Type: ReDIF-Paper 1.0

Author-Name: Roman Horvath
Author-X-Name-First: Roman
Author-X-Name-Last: Horvath
Author-Email: roman.horvath@fsv.cuni.cz
Author-Workplace-Name: Charles University in Prague


Author-Name: Lóránt Kaszab
Author-X-Name-First: Lóránt
Author-X-Name-Last: Kaszab
Author-Email: kaszabl@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank (Central Bank of Hungary)


Author-Name: Ales Marsal
Author-X-Name-First: Ales
Author-X-Name-Last: Marsal
Author-Email: ales.marsal@nbs.sk
Author-Workplace-Name: National Bank of Slovakia


Title: Fiscal Policy and the Nominal Term Premium


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 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.


Length: 32 pages
Creation-Date: 2019
File-URL: https://www.mnb.hu/letoltes/mnb-wp-2019-2-final-1.pdf
File-Format: Application/pdf

Number: 2019/2
Classification-JEL: E13, E31, E43, E44, E62
Keywords: zero-coupon bond, nominal term premium, balanced budget rule, government debt, income taxation
Handle: RePEc:mnb:wpaper:2019/2