This paper examines how anticipated, unanticipated, and uncertainty shocks in U.S. government spending affect the term structure of interest rates, showing that fiscal policy design significantly influences the yield curve and financing cost. By integrating the yield curve into our macro-finance framework, we capture the interplay where expectations about future macroeconomic outcomes influence the yield curve response, and the current yield curve affects current macro variables. This underscores the importance of including financial market variables in macroeconomic analyses to fully understand the transmission mechanisms of fiscal policy shocks. Our findings highlight the role of the term structure of interest rates in shaping both expectations and economic outcomes, supporting theoretical models that incorporate fiscal foresight and monetary-fiscal interactions […]