The Term Structure of Interest Rates and the Public Debt Issuance Policy: A Note

Gustavo Piga and Giorgio Valente ()

CEIS Research Paper from Tor Vergata University, CEIS

Abstract: We estimate, using a previously unexploited set of data for the Italian public debt, quarterly yield curves over the period 1970-1996 to test the main implications of the expectations hypothesis theory (EH). Our empirical results show that short-term interest rates move according to the prediction of the EH, though the same cannot be found for long-term interest rates. In addition, using a probit model, we investigate the public debt issuance policy. We find and interpret a significant relationship between the slope of the yield curve and the probability of an increase in the aggregate duration of the outstanding debt.

Keywords: Term Structure of Interest Rates; Expectations Hypothesis; Public Debt Management (search for similar items in EconPapers)
JEL-codes: E44 E58 E61 H63 (search for similar items in EconPapers)
Pages: 12
Date: 2004-04-30
New Economics Papers: this item is included in nep-mac, nep-mon and nep-pbe
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:rtv:ceisrp:49

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