Supply Effects on the Term Structure of Interest Rates

P.T. Owen

Working Paper from Economics Department, Queen's University

Abstract: This paper develops a term structure model of interest rates from a structural bond market model. Bond demand of various terms to maturity is the product of expected return and risk. The yield to maturity is a function of the short term interest rate, capital gains expected and bond supplies. This relationship is tested using data on Government of Canada direct and guaranteed bonds. The results calculate the effects of debt management operations on the term structure of interest rates.

Pages: 35
Date: 1980
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:382

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