Official demand for US debt: implications for US real rates

Iryna Kaminska and Gabriele Zinna

No 796, Bank of England working papers from Bank of England

Abstract: We estimate a structural term-structure model of US real rates, where arbitrageurs accommodate demand pressures exerted by domestic and foreign official investors. Official demand affects rates by altering the aggregate price of duration risk, and thereby bond risk premiums. While foreign central banks’ demand contributed to reduce long-term real rates mainly in the years prior to the global-financial crisis, the Federal Reserve’s demand lowered rates during the QE period. Overall, the two-factor model, augmented to account for changing liquidity conditions, offers a good representation of real rates during the 2001–2016 period; however, we flag some caveats and possible extensions.

Keywords: Term structure of real rates; quantitative easing; global imbalances; Bayesian econometrics (search for similar items in EconPapers)
JEL-codes: F31 G10 (search for similar items in EconPapers)
Pages: 63 pages
Date: 2019-05-03
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://www.bankofengland.co.uk/-/media/boe/files/ ... or-us-real-rates.pdf Full text (application/pdf)

Related works:
Journal Article: Official Demand for U.S. Debt: Implications for U.S. Real Rates (2020)
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:boe:boeewp:0796

Access Statistics for this paper

More papers in Bank of England working papers from Bank of England Bank of England, Threadneedle Street, London, EC2R 8AH. Contact information at EDIRC.
Bibliographic data for series maintained by Digital Media Team ().