EconPapers    
Economics at your fingertips  
 

Foreign holdings of U.S. Treasuries and U.S. Treasury yields

Daniel Beltran (), Maxwell Kretchmer, Jaime Marquez and Charles Thomas ()

Journal of International Money and Finance, 2013, vol. 32, issue C, 1120-1143

Abstract: Foreign official holdings of U.S. Treasuries increased from $400 billion in January 1994 to about $3 trillion in June 2010. Most of this growth is accounted for by a handful of emerging market economies that have been running large current account surpluses. These countries are channeling their savings through the official sector, which is then acquiring foreign exchange reserves. Any shift in policy to reduce their current account surpluses or dampen the rate of reserves accumulation would likely slow the pace of foreign official purchases of U.S. Treasuries. Would such a slowing of foreign official purchases of Treasury notes and bonds affect long-term Treasury yields? Most likely yes, and the effects appear to be large. By our estimates, if foreign official inflows into U.S. Treasuries were to decrease in a given month by $100 billion, 5-year Treasury rates would rise by about 40–60 basis points in the short run. But once we allow foreign private investors to react to the yield change induced by the shock to foreign official inflows, the long-run effect is about 20 basis points.

Keywords: Foreign official inflows; Treasury yields; Foreign reserves; Capital flows (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560612001647
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Foreign holdings of U.S. Treasuries and U.S. Treasury yields (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:32:y:2013:i:c:p:1120-1143

DOI: 10.1016/j.jimonfin.2012.09.005

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2023-01-23
Handle: RePEc:eee:jimfin:v:32:y:2013:i:c:p:1120-1143