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

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.

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Year of publication:	2014-03-24
Authors:	Li, Canlin ; Wei, Min
Institutions:	Federal Reserve Board (Board of Governors of the Federal Reserve System)
Subject:	No-arbitrage term structure models \| Yield curve \| Preferred habitat \| Supply effects \| Factor models \| Large-scale asset purchases (LSAP) \| Agency mortgage-backed securities (MBS)

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Extent:	application/pdf
Series:	Finance and Economics Discussion Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Finance and Economics Discussion Series Number 2014-7 34 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010784178