Does a change in the public׳s holdings of government debt affect the term structure of interest rates? Empirical analysis using a VAR model indicates that a rise in these holdings of the real debt-to-GDP ratio increases both the three-month and ten-year U.S. nominal yields in a statistically...

We find that investors' expectations of U.S. nominal yields, at different maturities and forecast horizons, exhibit significant time-variation during the Great Moderation. Nominal zero-coupon bond yields for the U.S. are used to fit the yield curve using a latent factor model. In the benchmark...