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Long-term interest rates and expected future budget deficits: evidence from the term structure

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  • Lloyd Thomas
  • Danhua Wu
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    Abstract

    This article examines the relationship between current and expected future real Treasury bond yields, forecasts of budget deficits and market risk. Both expected future deficits and risk strongly influenced expected future real Treasury bond yields in the United States in the 1983-2005 period.

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    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850601018544&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 16 (2009)
    Issue (Month): 4 ()
    Pages: 365-368

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    Handle: RePEc:taf:apeclt:v:16:y:2009:i:4:p:365-368

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    Cited by:
    1. Bernoth, Kerstin & Hagen, Jürgen von & Schuknecht, Ludger, 2006. "Sovereign Risk Premiums in the European Government Bond Market," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 151, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
    2. Christoph A. Schaltegger & Martin Weder, 2010. "Fiscal Adjustment and the Costs of Public Debt Service: Evidence from OECD Countries," CREMA Working Paper Series 2010-08, Center for Research in Economics, Management and the Arts (CREMA).

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