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

By Lloyd Thomas and Danhua Wu

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.

DOI identifier: 10.1080/13504850601018544
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