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Title page

Contents

Abstract 2

Introduction 4

Reviewing the Literature on the DSIR 6

When and Where Does CBO Use the DSIR? 10

CBO's Baseline Economic Projections 11

CBO's Fiscal Policy Analyses 12

Sensitivity of CBO's Interest Rate Projections to Changes in the DSIR Parameter 12

Why Does CBO Estimate the DSIR Parameter Empirically? 14

Empirical Estimation of the DSIR Parameter 15

Empirical Specification 15

Data 17

Baseline Results 22

Recursive Estimation 23

Testing for Breaks in the Empirical Relationship 24

Conclusion 25

References Cited 27

Appendix A: Using Deficits as the Explanatory Variable of Interest 29

Appendix B: Using Projections of Federal Reserve and Foreign Holdings of U.S. Treasury Securities 31

Tables

Table 1. Debt Sensitivity of 10-Year Interest Rate Empirical Results 22

Figures

Figure 1. Theoretical Estimates of the Debt Sensitivity of Interest Rates 9

Figure 2. Projected Interest Rates, 1976-2023 18

Figure 3. Projected Debt-to-GDP Ratio, 1976-2023 19

Figure 4. U.S. Treasury Debt Holdings by Entity, 1976-2022, as a Percentage of Nominal GDP 20

Figure 5. Foreign Holdings, 1976-2023, as a Percentage of GDP 21

Figure 6. Recursive Regression Analysis of the Debt Sensitivity of Interest Rates Parameter 24

Appendix Tables

Table A1. Deficit Sensitivity of 10-Year Interest Rate Models 30

Table B1. Trimmed Models, January 2011-February 2023 33

Appendix Figures

Figure B1. Federal Reserve Balance Sheet and CBO Projections, 2011-2023, as a Percentage of GDP 32

초록보기

In forming its long-run projections of the interest rate on 10-year Treasury notes, the Congressional Budget Office estimates that a 1 percentage-point increase in the projected ratio of debt to gross domestic product raises average long-run interest rates by 2 basis points (bps). The agency refers to that estimated relationship as the debt sensitivity of interest rates (DSIR). Here we extend the sample used in a previous CBO working paper to empirically estimate the DSIR and explore the relationship’s stability over time. Extending the sample through 2023 yields an estimate of the coefficient on debt in our regression equation of 2.0 bps, and analysis using recursive regressions shows that the coefficient estimate has been stable over recent history. Estimating the regression equation over the subsample between two possible breaks in the relationship—a subsample during which the monetary policy regimen resembled the one CBO projects in the long run—yields a nearly identical value.

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