Preliminary Evidence on the Impact of Budget Deficits on the Nominal Interest Rate Yield on Ten-Year U.S. Treasury Notes after Allowing for Adoption of Monetary Policies Involving "Quantitative Easing" - Evidenza preliminare sull’impatto del deficit di bilancio sul tasso di interesse nominale delle treasury notes USA a dieci anni dopo l’adozione di politiche monetarie di “quantitative easing”

Richard Cebula ()

Economia Internazionale / International Economics, 2014, vol. 67, issue 2, 181-200

Abstract: This study provides current, new empirical evidence on the impact of the U.S. federal budget deficit on the nominal interest rate yield on nominal ten-year U.S. Treasury notes. The study is couched within an open loanable funds model that includes an ex ante real short term real interest rate yield, an ex ante real long-term interest rate yield, the monetary base as a percent of GDP, expected future inflation, the percentage growth rate of real GDP, and other variables. This study uses annual data for the periods 1973-2008 and 1973-2012; the latter of these two study periods includes “quantitative easing” monetary policies in the U.S. A number of autoregressive two-stage least squares estimations reveal that the federal budget deficit, expressed as a percent of GDP, has exercised a positive and statistically significant impact on the nominal interest rate yield on ten-year Treasury notes, even after allowing for “quantifying easing” and other factors. - Questo studio fornisce una nuova evidenza empirica sull’impatto del deficit di bilancio federale degli USA sul tasso di interesse nominale delle treasury notes USA a dieci anni. Lo studio è stato effettuato attraverso un modello con aperture di credito che considera il tasso di interesse reale a breve termine ed a lungo termine ex ante, la base monetaria quale percentuale del PIL, l’inflazione attesa, la percentuale di crescita del PIL reale ed altre variabili. Vengono utilizzati dati annuali per il periodo 1973-2008 e 1973- 2012. Quest’ultimo include politiche monetarie di quantitative easing adottate negli USA. Diverse stime autoregressive ai minimi quadrati su due livelli evidenziano che il deficit federale, in percentuale del PIL, ha un impatto positivo e statisticamente significativo sul tasso d’interesse nominale dei titoli a dieci anni, pur considerando il quantifying easing ed altri fattori.

Keywords: Ten-Year U.S. Treasury Note Yield; Federal Budget Deficits; Loanable Funds Model; Quantitative Easing (search for similar items in EconPapers)
JEL-codes: E43 H62 (search for similar items in EconPapers)
Date: 2014
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