Term structure modelling with supply factors and the Federal Reserve's Large Scale Asset Purchase programs

Canlin Li and Min Wei
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Canlin Li: https://www.federalreserve.gov/econres/canlin-li.htm

No 2012-37, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper proposes and estimates an arbitrage-free term structure model with both observable yield factors and Treasury and Agency MBS supply factors, and applies it to evaluate the term premium effects of Federal Reserve's Large Scale Asset Purchase programs. Our estimates show that the first and the second large-scale asset purchase programs and the Maturity Extension program have a combined effect of about 100 basis points on the 10-year Treasury yield.

Date: 2012
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http://www.federalreserve.gov/pubs/feds/2012/201237/201237pap.pdf (application/pdf)

Related works:
Working Paper: Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs (2014)
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