International capital flows and U.S. interest rates

Francis Warnock and Veronica Warnock

No 840, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Foreign flows have an economically large and statistically significant impact on long-term interest rates. Controlling for various macroeconomic factors we estimate that had there been no foreign flows into U.S. bonds over the past year, the 10-year Treasury yield would currently be 150 basis points higher; even a step-down to average inflows would imply an increase of 105 basis points. The impact of the headline-making foreign official flows?a relatively small subset of total foreign accumulation of U.S. bonds?is also significant but markedly smaller. Our results are robust to a number of alternative specifications.

Keywords: Capital movements; Interest rates (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-mac
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Citations: View citations in EconPapers (18)

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Related works:
Working Paper: International Capital Flows and U.S. Interest Rates (2006)
Working Paper: International Capital Flows and U.S. Interest Rates (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:840

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