Data and Code for: Impact of Foreign Official Purchases of US Treasuries on the Yield Curve
- Wolcott, Erin L. (Middlebury College)
National Science Foundation Graduate Research Fellowship Program
- Award Number: DGE-1144086
AbstractThese 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.
1985-01-01 / 2014-08-31Time Period: Tue Jan 01 00:00:00 EST 1985--Sun Aug 31 00:00:00 EDT 2014
Is supplement to
DOI: 10.1257/pandp.20201124 (Text)
Wolcott, Erin L. “Impact of Foreign Official Purchases of US Treasuries on the Yield Curve.” AEA Papers and Proceedings 110 (May 2020): 535–40. https://doi.org/10.1257/pandp.20201124.
- ID: 10.1257/pandp.20201124 (DOI)
Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2020-05-14