Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs
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- W. Arrata & B. Nguyen, 2017. "Price impact of bond supply shocks: Evidence from the Eurosystem's asset purchase program," Working papers 623, Banque de France.
More about this item
KeywordsNo-arbitrage term structure models; Yield curve; Preferred habitat; Supply effects; Factor models; Large-scale asset purchases (LSAP); Agency mortgage-backed securities (MBS);
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-06-22 (All new papers)
- NEP-MAC-2014-06-22 (Macroeconomics)
- NEP-MON-2014-06-22 (Monetary Economics)
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