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Kitchen examines how US budget deficit news affects asset prices and concludes that news of lower deficits reduces the inflation risk premium. This paper constructs narrative histories of several deficit-reduction laws to identify when markets learned that deficits would fall. It then estimates a multi-factor model that allows the inflation risk premium to vary following news of deficit-reductions. The results indicate that there is a large and statistically significant drop in the factor price associated with inflation following news that budget deficits would decline.