Institutional Affiliation: Australian National University
NBER Working Papers and Publications
|August 2011||Japanese Government Debt and Sustainability of Fiscal Policy|
with Takero Doi, Takeo Hoshi: w17305
We construct quarterly series of the revenues, expenditures, and debt outstanding for Japan from 1980 to 2010, and analyze the sustainability of the fiscal policy. We pursue three approaches to examine the sustainability. First, we calculate the minimum tax rate that stabilizes the debt to GDP ratio given the future government expenditures. Using 2010 as the base year, we find that the government revenue to GDP ratio must rise permanently to 40%-47% (from the current 33%) to stabilize the debt to GDP ratio. Second, we estimate the response of the primary surplus when the debt to GDP ratio increases. We allow the relationship to fluctuate between two "regimes" using a Markov switching model. In both regimes, the primary surplus to GDP ratio fails to respond positively to debt, which s...
Published: Doi, Takero & Hoshi, Takeo & Okimoto, Tatsuyoshi, 2011. "Japanese government debt and sustainability of fiscal policy," Journal of the Japanese and International Economies, Elsevier, vol. 25(4), pages 414-433. citation courtesy of
|February 2010||Sources of Variation in Holding Returns for Fed Funds Futures Contracts|
with James D. Hamilton: w15736
This paper relates predictable gains from positions in fed funds futures contracts to violations of the expectations hypothesis of the term structure of interest rates. Although evidence for predictable gains from positions in short-horizon contracts is mixed, we find that gains in longer horizon contracts can be well described using Markov-switching models, with predictability associated with particular episodes in which economic activity was weak and variability in the returns to these contracts was quite high.
Published: “Sources of Variation in Holding Returns for Fed Funds Futur es Con- tracts,” Journal of Futures Markets 31, no. 3 (2011): 205-229 (coauthored with Tatsuyoshi Okimoto). citation courtesy of