Affine term structure pricing with bond supply as factors
No 2016-1, FRB Atlanta CQER Working Paper from Federal Reserve Bank of Atlanta
This paper presents a theoretical model for analyzing the effect of the maturity structure of government debt on the yield curve. It is an ATSM (affine term structure model) in which the factors for the yield curve include, in addition to the short rate, the government bond supply for each maturity. The supply shock is not restricted to be perfectly correlated across maturities. The effect on the yield curve of a bond supply shock that is local to a maturity is largest at the maturity. This hump-shaped response of the yield curve persists in spite of the absence of preferred-habitat investors.
Keywords: ATSM; yield curve; portfolio balance channel; supply of government bonds; impulse responses (search for similar items in EconPapers)
JEL-codes: E43 E58 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
https://www.frbatlanta.org/-/media/Documents/cqer/ ... ngpapers/2016/01.pdf Full text (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:fip:fedacq:16-01
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in FRB Atlanta CQER Working Paper from Federal Reserve Bank of Atlanta Contact information at EDIRC.
Series data maintained by Elaine Clokey ().