Impact of Federal Government Budget Deficits on the Longer-term Real Interest Rate in the U.S.: Evidence Using Annual and Quarterly Data, 1960-2013
Richard Cebula ()
MPRA Paper from University Library of Munich, Germany
Abstract:
Using over a half century of data, this empirical study adopts a simple loanable funds model to investigate the impact of federal budget deficits in the U.S. on the ex post real interest rate yield on ten year U.S. Treasury notes. Three estimates using annual data for three different time periods (1960-2013, 1971-2013, 1980-2013) are provided; in addition, as a de facto modest test of robustness, one additional estimate using quarterly data for the period 1960.1 through 2013.4 is also provided. In each of the four empirical analyses, an autoregressive 2SLS estimate finds that the ex post real interest rate yield on ten year U.S. Treasury notes is an increasing function of the ex post real interest rate yield on Moody’s Baa-rated corporate bonds, the ex post real interest rate yield on three year Treasury notes, and the ex post real interest rate yield on high grade municipal bonds. This exploratory analysis also finds consistent evidence that federal budget deficit (relative to the GDP level) exercised a positive and statistically significant impact on the ex post real interest rate yield on ten year Treasury notes
Keywords: real longer-term interest rate; government budget deficit (search for similar items in EconPapers)
JEL-codes: E41 E43 E44 H62 (search for similar items in EconPapers)
Date: 2014-03-24
New Economics Papers: this item is included in nep-his and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/55264/1/MPRA_paper_55264.pdf original version (application/pdf)
Related works:
Journal Article: Impact of Federal Government Budget Deficits on the Longer Term Real Interest Rate in the U.S.: Evidence Using Annual and Quarterly Data, 1960-2013 (2014) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:55264
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().