Why is the word 'Lord' in all caps in the OT but not in the NT?

My friend asked me the other day, why is the word 'Lord' in all capital letters in the Old Testament but not the New Testament? I tend to lean towards the fact that the OT was written in Hebrew and the word for God in Hebrew is YAHWEH, or rather YHWH, and since they believed His name was so Holy, they only used capital letters.