债务和赤字对美国长期利率的影响

The Impact of Debt AndDeficits on Long-TermInterest Rates in the US Davide Furceri, Carlos Goncalves and Hongchi Li WP/25/142 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025JUL IMF Working PaperFiscal Affairs Department The Impact of Debt and Deficits on Long-Term Interest Rates in the USPrepared byDavide Furceri,Carlos Goncalvesand Hongchi Li Authorized for distribution by Davide FurceriJuly2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:We present new evidence on the impact of fiscal variables on long-term interest rates andterm premia in the United States. To alleviate endogeneity problems, we follow the seminal methodologyby Laubach (2009) and resort to long-term projections of interest rates and fiscal variables. Afterincorporating an additional 20 years of data into our sample, the estimated effects of debt and deficits oninterest rates show little change from Laubach’s findings. However, we show that the link between long-term rates and fiscal variables is not stable over time. It was close to zero during the years of relative fiscalprudence around the turn of the century and it has been increasing since fiscal positions have started todeteriorate markedly. RECOMMENDED CITATION:Furceri, Davide, Carlos Goncalves, and Hongchi Li. 2025. The impact of debt anddeficits on long-term interest rates in the US. IMF Working Paper WP/25/141, Washington DC. The impact of debt and deficits on long terminterest rates in the US Davide Furceri‗ Carlos Goncalves† Hongchi Li‡ June 2025 Abstract We present new evidence on the impact of fiscal variables on long-term interestrates and term premia in the United States. To alleviate endogeneity problems,we follow the seminal methodology by Laubach (2009) and resort to long-termprojections of interest rates and fiscal variables. After incorporating an additional20 years of data into our sample, the estimated effects of debt and deficits on interestrates show little change from Laubach’s findings. However, we show that the linkbetween long-term rates and fiscal variables is not stable over time. It was close tozero during the years of relative fiscal prudence around the turn of the century andit has been increasing since fiscal positions have started to deteriorate markedly. 1Introduction Since 1980s, US long-term interest rates have been on a declining trend, while debtand deficits have consistently increased in most years. This trend has become morepronounced in the decade following the Global Financial Crisis (GFC), characterizedby a continuous rise in debt-to-GDP levels in the United States, a sharp deteriorationin fiscal deficits, and nominal interest rates reaching historically low levels, with realinterest rates remaining significantly below real GDP growth rates (see Figure 1 andAppendix Figure A.1). This recent pattern has contributed to a more benign perspectiveregarding the costs associated with worsening fiscal positions (e.g., Blanchard 2019,Mankiw 2022, and Bernanke and Blanchard 2023). Do these patterns imply that long-term interest rates have become less sensitiveto increases in debt and deficit over time? Our results suggest that the answer is aqualified no. For the entire 50-year sample period (1976-2025) we examine, the estimated effects ofdebt and deficits on long-term interest rates are statistically and economically significant,with magnitudes similar to those found in previous studies. However, a key contributionof this paper is to show that the relationship between long-term rates and fiscal variableshas evolved over time. Specifically, these effects weakened markedly around the turn of the century, a period of fiscal prudence and small deficits, but have been becomingstronger since then as fiscal position have started to deteriorate. Estimating the effects of debt and deficits on long-term interest rates is complicatedby the need to isolate variations in debt and deficits that are exogenous to otherinfluences. In his seminal paper, Laubach (2009) proposed a novel method to addressthis identification problem by focusing on the relationship between long-horizonexpectations of both interest rates and fiscal variables. The premise is that deficits,debt, and interest rates expected to prevail several years in the future are little affectedby short-term factors related to the current state of the business cycle, thus reducingconfounding effects including those induced by counter-cyclical monetary policy andautomatic fiscal stabilizers. While this