Debt, deficits and interest rates
通过分析财政意外对利率的高频反应，发现赤字占GDP比率每上升1个百分点，10年期名义利率上升8.1个基点，并探讨了理论机制。
Abstract This paper identifies how a rise in the deficit/debt impacts interest rates by looking at the high‐frequency response of interest rates to fiscal surprises. The fiscal surprises are the unexpected components of deficit releases and the changes in official forecasts by the Congressional Budget Office and by the Office of Management and Budget. The paper estimates that a rise in the deficit‐to‐GDP ratio of 1 percentage point raises the 10‐year nominal interest rate by 8.1 basis points. The response is similar quantitatively for other Treasury maturities and for corporate debt interest rates. The paper also investigates which theoretical channel drives this relationship, and whether surprises affect interest rate expectations or the term premium. These results are used to estimate how recent spending may have affected interest rates.