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Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
CESifo Working Paper No. 8374
Verlag: 
Center for Economic Studies and Ifo Institute (CESifo), Munich
Zusammenfassung: 
We provide evidence that expansionary fiscal policy lowers the return difference between more and less liquid assets—the liquidity premium. We rationalize this finding in an estimated heterogeneous-agent New-Keynesian (HANK) model with incomplete markets and portfolio choice, in which public debt affects private liquidity. In this environment, the short-run fiscal multiplier is amplified by the countercyclical liquidity premium. This liquidity channel stabilizes investment and crowds in consumption. We then quantify the long-run effects of higher public debt, and find a sizable decline of the liquidity premium, increasing the fiscal burden of debt, but little crowding out of capital.
Schlagwörter: 
fiscal policy
liquidity premium
business cycles
Bayesian estimation
incomplete markets
HANK
JEL: 
C11
D31
E32
E63
Dokumentart: 
Working Paper
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