Term Structure Modelling with Supply Factors and the Federal Reserve ’ s Large Scale Asset Purchase Programs ∗
نویسندگان
چکیده
This paper proposes and estimates an arbitrage-free term structure model with both observable yield factors and Treasury and Agency MBS supply factors, and applies it to evaluate the term premium effects of 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 have a combined effect of about 100 basis points on the 10-year Treasury yield.
منابع مشابه
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 second large-scale asset purchase programs and the maturity extension program jointly reduced the ten-year Tr...
متن کاملDiscussion of “ Term Structure Modeling with Supply Factors and the Federal Reserve ’ s Large - Scale Asset Purchase Programs ” ∗
I would first like to thank the organizers for inviting me to discuss this interesting and thought-provoking paper. This paper estimates a model of the term structure of government bond yields where, in addition to the usual level and slope factors, the supply of Treasury and mortgage-backed securities plays a role in the pricing of government bonds. This approach offers an alternative methodol...
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