We examine the impact of the actual purchases of Treasury securities by the Federal Reserve on the Treasury yields. Using structural stability tests we find significant breaks in the relation between these variables. We find that in the zero lower bound period following the first phase of...

We assess the effect of the QE2 program on the TIPS liquidity premium using a latent factor approach and a counterfactual exercise. In the context of a state-space model for nominal and TIPS yields, we identify the TIPS liquidity premium as the common component in TIPS yields that is unspanned...