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Data and Code for: Impact of Foreign Official Purchases of US Treasuries on the Yield Curve

Version
V0
Resource Type
Dataset : program source code, text
Creator
  • Wolcott, Erin L. (Middlebury College)
Publication Date
2020-05-14
Funding Reference
  • National Science Foundation Graduate Research Fellowship Program
    • Award Number: DGE-1144086
Free Keywords
term structure; vector autoregression; government bonds; international financial markets; foreign official purchases; Treasury securities; interest rates
Description
  • Abstract

    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.
Temporal Coverage
  • 1985-01-01 / 2014-08-31
    Time Period: Tue Jan 01 00:00:00 EST 1985--Sun Aug 31 00:00:00 EDT 2014
Geographic Coverage
  • United States
Availability
Download
Relations
  • Is supplement to
    DOI: 10.1257/pandp.20201124 (Text)
Publications
  • 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

Wolcott, Erin L. (2020): Data and Code for: Impact of Foreign Official Purchases of US Treasuries on the Yield Curve. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E118046