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Do Excess Holding-Period Returns Depend on the Composition of Outstanding Federal Debt?

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  • Wallace, Myles S
  • Warner, John T

Abstract

The relationship between the composition of outstanding federal debt and the term structure of interest rates has been a much studied and debated subject. This note examines the relationship between the excess holding period returns and the composition of debt over the post-Accord period. The evidence fails to support a link between debt composition and excess holding period returns. Copyright 1996 by Ohio State University Press.

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  • Wallace, Myles S & Warner, John T, 1996. "Do Excess Holding-Period Returns Depend on the Composition of Outstanding Federal Debt?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 132-139, February.
    • Handle: RePEc:mcb:jmoncb:v:28:y:1996:i:1:p:132-39
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    Cited by:

    1. Mark E. Wohar & Robert Sollis, 2007. "Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure," Journal of Economic Insight, Missouri Valley Economic Association, vol. 33(2), pages 1-19.
    2. Park, Chul Woo, 1999. "Maturity structure of public debt and expected bond returns," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1407-1435, September.
    3. Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
    4. Henry, O.T., 1998. "The Volatility of U.S. Term Structure Term Premia 1952-1991," Department of Economics - Working Papers Series 620, The University of Melbourne.
    5. Gauti B. Eggertsson & Michael Woodford, 2003. "Optimal Monetary Policy in a Liquidity Trap," NBER Working Papers 9968, National Bureau of Economic Research, Inc.
    6. Bekdache, Basma, 2001. "Term Premia and the Maturity Composition of the Federal Debt: New Evidence from the Term Structure of Interest Rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(7), pages 519-539, November.

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