Data and Code for: Impact of Foreign Official Purchases of US Treasuries on the Yield Curve
Principal Investigator(s): View help for Principal Investigator(s) Erin L. Wolcott, Middlebury College
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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| Data | 03/05/2020 05:09:PM | ||
| Programs | 03/05/2020 05:06:PM | ||
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text/plain | 1.4 KB | 04/22/2020 09:31:AM |
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application/pdf | 117.9 KB | 03/04/2020 12:27:PM |
Project Citation:
Wolcott, Erin L. Data and Code for: Impact of Foreign Official Purchases of US Treasuries on the Yield Curve. Nashville, TN: American Economic Association [publisher], 2020. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2020-05-14. https://doi.org/10.3886/E118046V1
Project Description
Summary:
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These files contain the programs and data for the journal article "Impact of Foreign Official Purchases of US Treasuries on the Yield Curve," AEA: Papers and Proceedings.
Abstract: Foreign governments went from owning a tenth of publicly available U.S. Treasury notes and bonds in 1985 to over half in 2008. Recently, foreign governments have reduced their positions. I find foreign official purchases have depressed medium-term yields, despite conventional wisdom pointing towards the long end of the yield curve. To examine effects over the entire yield curve, I embed a structural vector autoregression of macroeconomic variables into an affine term structure model. With segments of the yield curve increasingly determined by international financial markets, it may be more difficult for the Federal Reserve to implement its interest rate policy.
Abstract: Foreign governments went from owning a tenth of publicly available U.S. Treasury notes and bonds in 1985 to over half in 2008. Recently, foreign governments have reduced their positions. I find foreign official purchases have depressed medium-term yields, despite conventional wisdom pointing towards the long end of the yield curve. To examine effects over the entire yield curve, I embed a structural vector autoregression of macroeconomic variables into an affine term structure model. With segments of the yield curve increasingly determined by international financial markets, it may be more difficult for the Federal Reserve to implement its interest rate policy.
Funding Sources:
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National Science Foundation Graduate Research Fellowship Program (DGE-1144086)
Scope of Project
Subject Terms:
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term structure ;
vector autoregression;
government bonds;
international financial markets;
foreign official purchases;
Treasury securities;
interest rates
JEL Classification:
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E43 Interest Rates: Determination, Term Structure, and Effects
F21 International Investment; Long-term Capital Movements
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G15 International Financial Markets
E43 Interest Rates: Determination, Term Structure, and Effects
F21 International Investment; Long-term Capital Movements
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G15 International Financial Markets
Geographic Coverage:
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United States
Time Period(s):
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1/1985 – 8/2014
Data Type(s):
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program source code;
text
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