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Abstract

U.S. government indebtedness and fiscal deficits increased notably following the Global Financial Crisis. Yet long-term interest rates and U.S. Treasury yields have remained remarkably low. What keeps long-term interest rates so low? This paper relies on a simple model, based on John Maynard Keynes’ view that the central bank's actions are the key drivers of long-term interest rates, to explain the behavior of long-term interest rates in the U.S. The empirical findings confirm that short-term interest rates are the most important determinants of long-term interest rates in the U.S. Contrary to conventional wisdom, higher government indebtedness has a negative effect on long-term interest rates, particularly on a long run basis. However, in the short run, higher government indebtedness has a positive effect on long-term interest rates. These are relevant for contemporary policy debates and macroeconomic theory.

7. Conclusion

The empirical findings of this paper support that Keynes, 1930 view that short-term interest rates are the most important determinants of long-term interest rates in the U.S., a country with monetary sovereignty. The long-term interest rates on U.S. Treasury securities are positively associated with the short-term interest rates on U.S. Treasury bills, after controlling for various relevant economic variables, such as the rates of inflation, and government finance variables. The Federal Reserve affects the short-term interest rates through its policy rates and through various other tools of monetary policy. The empirical results show that in the long run an increase in the government indebtedness has a statistically significant and economically meaningful negative effect, while in the short-run effect is statistically significant and economically meaningful positive effect. The long run effect can be explained using a chartalist perspective (Wray, 2012), while the short-run effect can be understood in terms of conventional view that higher government spending and debt may raise the cost of government borrowing.