Description |
1 online resource (46 pages) |
Series |
IMF working paper ; no. 14/66 |
|
IMF working paper ; no. 14/66
|
Contents |
Cover; Contents; I. Introduction; II. Recent developments in the US Treasury markets; A. Foreign Official Purchases and interest rate conundrum; Figures; 1. Estimated ownership of US Treasury securities; B. Fed unconventional policies: LSAP1, LSAP2, and MEP; 2. Fed Treasury holdings across different maturity segments; III. Literature review; 3. US Treasury debt outstanding; IV. Model; V. Estimation; A. Data; Tables; 1. Yield summary statistics and PC analysis; 4. Measures of demand pressures in the US Treasury market; B. Econometric methodology; VI. Estimation Results |
|
A. Model fit, estimated factors and bond premia2. Estimated parameters of the model; 5. Observed yields and measurement errors; 6. Estimated factors; 7. Factor loading; B. Demand factor analysis; 8. Real interest rates decomposition; 3. Demand factor parameters; 4. Impact of foreign officials' demand for treasuries on the term structure of real rates; 5. Impact of Federal Reserve asset purchase policies on the term structure of real rates; 9. The cumulative effects of demand pressures on real rates; 10. Filtered and observed demand factors |
|
6. Explaining differences between official observed and filtered demand factorsVII. Concluding remarks; References; Technical Appendix I: Model Details; Technical Appendix II: MCMC estimation details |
Summary |
"By constructing and estimating a structural arbitrage-free model of demand pressures on US real rates, the authors find that recent purchases of US government debt securities by the Fed and foreign officials have significantly affected the level and the dynamics of US real rates. In particular, by 2008, foreign purchases of US Treasuries are estimated to have had cumulatively reduced long term real yields by around 80 basis points. The subsequent total impact of Fed purchases in 2008-2012 has been even larger: the quantitative easing (QE) has depressed real 10-year yields by around 140 basis points. The authors findings also reveal that the Fed policy interventions and foreign official purchases affect longer term real bonds mostly through a reduction in the bond premium."--Summary |
Notes |
"April 2014." |
|
Online resource; title from pdf title page (IMF.org Web site, viewed May 14, 2014) |
Subject |
Interest rates -- United States
|
|
Government securities -- United States
|
|
Monetary policy -- United States
|
|
Liquidity (Economics)
|
|
Government securities
|
|
Interest rates
|
|
Liquidity (Economics)
|
|
Monetary policy
|
|
United States
|
Form |
Electronic book
|
Author |
Zinna, Gabriele, author
|
|
International Monetary Fund. Institute for Capacity Development, issuing body
|
|