European Parliament Library

Official Demand for U.S. Debt :, Implications for U.S. Real Interest Rates, Iryna Kaminska, Gabriele Zinna

By constructing and estimating a structural arbitrage-free model of demand pressures on US real rates, we find that recent purchases of US government debt securities by the Fed and foreign officials have significantly affected the level and the dynamics of US real rates. In particular, by 2008, foreign purchases of US Treasuries are estimated to have had cumulatively reduced long term real yields by around 80 basis points. The subsequent total impact of Fed purchases in 2008-2012 has been even larger: the quantitative easing (QE) has depressed real 10-year yields by around 140 basis points. Our findings also reveal that the Fed policy interventions and foreign official purchases affect longer term real bonds mostly through a reduction in the bond premium
Table Of Contents
Cover; Contents; I. Introduction; II. Recent developments in the US Treasury markets; A. Foreign Official Purchases and interest rate conundrum; Figures; 1. Estimated ownership of US Treasury securities; B. Fed unconventional policies: LSAP1, LSAP2, and MEP; 2. Fed Treasury holdings across different maturity segments; III. Literature review; 3. US Treasury debt outstanding; IV. Model; V. Estimation; A. Data; Tables; 1. Yield summary statistics and PC analysis; 4. Measures of demand pressures in the US Treasury market; B. Econometric methodology; VI. Estimation Results
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (47 p.)
Specific Material Designation
Form Of Item

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