| This thesis examines the impact of debt-management policies on the Treasury yield curve. Past research on this topic has found evidence of a relationship in some cases. This study uses government debt structure information over the last thirty years to revisit the issue. The variables are examined for stationarity using diagnostic tests. Highly fragmented series on government debt volumes improves the measure of debt structure. Additionally, survey data on interest rate expectations and control variables such as uncertainty, unemployment rate and current interest rate levels are used to examine the relationship. Three different methods of estimation--Simple OLS, Differenced OLS and Corrected OLS are used in the study. The dependent variable is the excess holding period return along different points of the term structure. Both ex ante and ex post measures of the excess holding period return are used. The empirical research indicates that such policies have some effect on the yield curve. |
