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:	[2017]
Authors:	Li, Canlin ; Wei, Min
Publisher:	[S.l.] : SSRN

Extent:	1 Online-Ressource (34 p)
Series:	FEDS Working Paper ; No. 2014-7
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March, 2014 erstellt
Classification:	G1 - General Financial Markets ; E4 - Money and Interest Rates ; C5 - Econometric Modeling
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014352387