Projected Evolution of the SOMA Portfolio and the 10-Year Treasury Term Premium Effect

Brian Bonis, Jane E. Ihrig and Min Wei
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Jane E. Ihrig: https://www.federalreserve.gov/econres/jane-e-ihrig.htm

No 2017-09-22, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: An earlier Feds note used staff models to provide a projection for the evolution of the SOMA portfolio and an estimate of the associated term premium effect (TPE) on the 10-year Treasury yield. That analysis relied on economic, financial, and monetary policy assumptions as of April 2017. With the Federal Open Market Committee (FOMC) announcing a change in its reinvestment policy in its September 2017 post-meeting statement, this note provides updated projections.

Date: 2017-09-22
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2017-09-22

DOI: 10.17016/2380-7172.2081

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