Revisiting the Interest Rate Effects of Federal Debt
重新研究了美国联邦债务与利率的关系，发现债务与GDP比率每上升1个百分点，5年期远期国债利率约上升3个基点，其中约一半由名义期限溢价上升驱动。
Abstract This paper revisits the relationship between federal debt and interest rates in the U.S. A common approach is to regress long-term forward interest rates on long-term projections of federal debt. We show that issues regarding nonstationarity have become more pronounced over the last 20 years, significantly biasing recent estimates. Estimating the model in first differences rather than in levels addresses these concerns. We find that a 1 percentage point increase in the debt-to-GDP ratio raises the 5-year-ahead, 5-year Treasury rate by about 3 basis points. Roughly half of the interest rate response is driven by a higher nominal term premium.