Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs
Canlin Li and
No 2014-7, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)
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 the second large-scale asset purchase programs and the maturity extension program jointly reduced the 10-year Treasury yield by about 100 basis points.
Keywords: No-arbitrage term structure models; Yield curve; Preferred habitat; Supply effects; Factor models; Large-scale asset purchases (LSAP); Agency mortgage-backed securities (MBS) (search for similar items in EconPapers)
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Journal Article: Term Structure Modeling with Supply Factors and the Federal Reserve's Large-Scale Asset Purchase Progarms (2013)
Working Paper: Term structure modelling with supply factors and the Federal Reserve's Large Scale Asset Purchase programs (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2014-07
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