债务对利率的因果影响

Federal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online) The Causal Effect of Debt on Interest Rates Abhik Bhatt, Anthony M. Diercks, Benjamin Eyal, and Arsenios Skaperdas 2026-031 Please cite this paper as:Bhatt,Abhik,Anthony M.Diercks,Benjamin Eyal,and Arsenios Skaperdas(2026).“TheCausal Effect of Debt on Interest Rates,”Finance and Economics DiscussionSeries2026-031.Washington:Board of Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2026.031. NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment.The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or the The Causal Effect of Debt on Interest Rates Abhik Bhatt, Anthony M. Diercks, Benjamin Eyal, and Arsenios SkaperdasMay 26, 2026 Abstract This paper uses a natural experiment to measure the causal effect of an expecteddebt-financed fiscal stimulus on interest rates.We find that a 1 percentage pointincrease in the expected US debt-to-GDP ratio leads to an increase of about 1-2 basispoints in the longer-run neutral rate (r∗) and of about 2–3 basis points in the 10-yearTreasury term premium.Our results validate estimates from a common time-series Keywords:government debt, Treasury yields,r∗, term premiums, and fiscal sustainability.JEL Classification: E43, E63, H63. 1Introduction How are interest rates affected by the supply of government debt?Measurement of thiselasticity is challenging: fiscal deficits co-move with the state of the economy, the demandfor government debt shifts over time, and many factors other than debt supply affect interest This paper exploits a unique natural experiment to isolate the causal effect of an increasein government debt on yields.Following the 2020 United States elections, one party wonthe presidency and gained a majority of the House. As a result, nearly all policies of thisnew administration were priced into financial markets soon after November 7, 2020.Two On the eve of the runoff result, prediction markets priced the probability of a dualvictory as nearly even:a coin flip.The outcome—single party control of government bythe Democrats—prompted a sharp upward revision in expected fiscal deficits and Treasury financed stimulus on Treasury yields, term premiums, and the longer-run neutral rate ofinterest (r∗).1 To capture the magnitude of the shock, we infer the change in expected Treasury issuanceimplied by the election outcome. In the week before the runoff, investment banks assessedthat a Senate majority would unlock about$900 billion in additional fiscal stimulus, primarily To assess the impact of this event on interest rate movements, we examine changes inTreasury yields on the day of and the day after the January 5th runoff.We decompose these yield changes into movements in the real term premium andr∗using the model-based We find that a 1 percentage point increase in the debt-to-GDP ratio leads to a 3-4 basispoints rise in real 10-year Treasury yields, with about a 1-2 basis point rise inr∗and a 2–3 basis point increase in the 10-year Treasury term premium, both statistically significant atconventional levels. However, a daily analysis may conflate these changes with developmentsthat emerged on the afternoon of January 6, as yields partially retraced before market close. We corroborate our findings in a complementary specification that exploits daily varia- term premiums on the probability of Democratic victory yields similar magnitudes and sig-nificance, underscoring the robustness of our estimates across both high- and low-frequency While our event-study design delivers a causal estimate of the effect of expected debt oninterest rates, it relies on estimates over a single well-identified episode. To assess the externalvalidity of these estimates and connect them to the broader empirical literature, we revisita widely used projection-based approach based on the seminal paper of Laubach (2009) Following Plante, Richter, and Zubairy (2026), we estimate this relationship in first differences to address concerns about non-stationarity.In contrast to the latter study’sfocus on the 5-year forward 5-year yield, we re-examine how changes in projected debt affect 5-year-forward 10-year (real) Treasury yields, the real term premium, andr∗.Theestimates using the projection-based approach closely mirror those obtained from our event- Our findings have important implications for the theoretical literature on debt and inter-est rates and for the conduct of monetary policy at the effective lower bound. A central em- pirical question is which components of long-term yields respond to increases in governmentdebt supply. Theory has largely focused on the effects of government debt onr∗, whether by nancial assets are imperfect substitutes, changes in the quantity and maturity