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

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Listed:
  • Canlin Li

    (Division of Monetary Affairs, Federal Reserve Board of Governors)

  • Min Wei

    (Division of Monetary Affairs, Federal Reserve Board of Governors)

Abstract

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 Treasury yield by about 100 basis points.

Suggested Citation

  • Canlin Li & Min Wei, 2013. "Term Structure Modeling with Supply Factors and the Federal Reserve's Large-Scale Asset Purchase Progarms," International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 3-39, March.
  • Handle: RePEc:ijc:ijcjou:y:2013:q:1:a:1
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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