Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs
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Note: This paper is a revised version of FEDS Working Paper 2012-37
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- 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.
- Canlin Li & Min Wei, 2012. "Term structure modelling with supply factors and the Federal Reserve's Large Scale Asset Purchase programs," Finance and Economics Discussion Series 2012-37, Board of Governors of the Federal Reserve System (U.S.).
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More about this item
Keywords
No-arbitrage term structure models; Yield curve; Preferred habitat; Supply effects; Factor models; Large-scale asset purchases (LSAP); Agency mortgage-backed securities (MBS);JEL classification:
- G1 - Financial Economics - - General Financial Markets
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2014-06-22 (Macroeconomics)
- NEP-MON-2014-06-22 (Monetary Economics)
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