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Managing Public Portfolios

Author

Listed:
  • Léo Aparisi de Lannoy
  • Anmol Bhandari
  • David Evans
  • Mikhail Golosov
  • Thomas Sargent

Abstract

We study optimal public portfolios in a class of macro-finance models that includes widely used specifications of households’ risk and liquidity preferences, market structures for financial assets, and trading frictions. An optimal portfolio hedges fluctuations in interest rates, primary surpluses, and income inequalities. We express an optimal portfolio in terms of statistics that are functions only of macro and financial market data. An application to US data shows that hedging interest rate risk plays a dominant role in shaping an optimal maturity structure of US government debt.

Suggested Citation

  • Léo Aparisi de Lannoy & Anmol Bhandari & David Evans & Mikhail Golosov & Thomas Sargent, 2025. "Managing Public Portfolios," Journal of Political Economy, University of Chicago Press, vol. 133(12), pages 3903-3951.
    • Handle: RePEc:ucp:jpolec:doi:10.1086/738150
    DOI: 10.1086/738150
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    Cited by:

    1. is not listed on IDEAS
    2. Chafwehé, Boris & de Beauffort, Charles & Oikonomou, Rigas, 2026. "Managing the inflation-output trade-off with public debt portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 183(C).
    3. Jochen Mankart & Romanos Priftis & Rigas Oikonomou, 2022. "The long and short of financing government spending," Working Paper Research 418, National Bank of Belgium.

    More about this item

    JEL classification:

    • E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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