Do markets care enough about deficit to raise future cost of capital? Non-linear deficitinterest rate relationship in the U.S. economy
| dc.contributor.author | Rakshit, Atanu | |
| dc.date.accessioned | 2016-04-26T08:54:30Z | |
| dc.date.available | 2016-04-26T08:54:30Z | |
| dc.date.issued | 2015-11-30 | |
| dc.description.abstract | This paper finds strong evidence of non-linear impact of long-horizon expected government deficits, measured by CBO projections, on expected future long-term interest rates for the US economy. The impact of a shock to expectations (“news shock”) in a regime where the expected deficit/GDP ratio is above 1.8 % (the estimated threshold value) increases future nominal interest rates by 29-30 basis point, and future real rates by 12-18 basis points. When expected deficit/GDP ratio is below 1.8 %, a surprise increase in expectations of deficit has no statistically significant impact on future interest rates. | ru_RU |
| dc.identifier.citation | Rakshit, Atanu, Do Markets Care Enough about Deficit to Raise Future Cost of Capital? Non-Linear Deficit-Interest Rate Relationship in the U.S. Economy (November 30, 2015). Available at SSRN: http://ssrn.com/abstract=2697057 | ru_RU |
| dc.identifier.uri | http://nur.nu.edu.kz/handle/123456789/1439 | |
| dc.language.iso | en | ru_RU |
| dc.publisher | Social Science Research Network (SSRN) | ru_RU |
| dc.rights | Attribution-NonCommercial-ShareAlike 3.0 United States | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/us/ | * |
| dc.subject | deficits | ru_RU |
| dc.subject | interest rates | ru_RU |
| dc.subject | hreshold | ru_RU |
| dc.subject | Research Subject Categories::SOCIAL SCIENCES::Business and economics | ru_RU |
| dc.title | Do markets care enough about deficit to raise future cost of capital? Non-linear deficitinterest rate relationship in the U.S. economy | ru_RU |
| dc.type | Article | ru_RU |