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

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.

MoreLess

Year of publication:	2013
Authors:	Li, Canlin ; Wei, Min
Published in:	International Journal of Central Banking. - International Journal of Central Banking. - Vol. 9.2013, 1, p. 3-39
Publisher:	International Journal of Central Banking

freely available

Full text |

More access options

www.ijcb.org

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf text/html
Type of publication:	Article
Classification:	G1 - General Financial Markets ; E4 - Money and Interest Rates ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010617350