Term Structure Modeling with Supply Factors and the Federal Reserve's Large-Scale Asset Purchase Progarms

Canlin Li and Min Wei

International Journal of Central Banking, 2013, vol. 9, issue 1, 3-39

Abstract: This paper estimates an arbitrage-free term structure model with both observable yield factors and Treasury and agency MBS supply factors, and uses it to evaluate the term premium effects of the Federal Reserve’s large-scale asset purchase programs. Our estimates show that the first and second large-scale asset purchase programs and the maturity extension program jointly reduced the ten-year Treasury yield by about 100 basis points.

JEL-codes: C5 E4 G1 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (115)

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Working Paper: Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2013:q:1:a:1

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