Do Excess Holding-Period Returns Depend on the Composition of Outstanding Federal Debt?
AbstractThe relationship between the composition of outstanding federal debt and the term structure of interest rates has been a much studied and debated subject. This note examines the relationship between the excess holding period returns and the composition of debt over the post-Accord period. The evidence fails to support a link between debt composition and excess holding period returns. Copyright 1996 by Ohio State University Press.
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Bibliographic InfoArticle provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.
Volume (Year): 28 (1996)
Issue (Month): 1 (February)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879
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- Park, Chul Woo, 1999. "Maturity structure of public debt and expected bond returns," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1407-1435, September.
- Gauti B. Eggertsson & Michael Woodford, 2003. "Optimal Monetary Policy in a Liquidity Trap," NBER Working Papers 9968, National Bureau of Economic Research, Inc.
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