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
  Data 03/05/2020 05:09:PM
  Programs 03/05/2020 05:06:PM
LICENSE.txt text/plain 1.4 KB 04/22/2020 09:31:AM
README.pdf 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:  View help for Summary 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.
Funding Sources:  View help for Funding Sources National Science Foundation Graduate Research Fellowship Program (DGE-1144086)

Scope of Project

Subject Terms:  View help for Subject Terms term structure ; vector autoregression; government bonds; international financial markets; foreign official purchases; Treasury securities; interest rates
JEL Classification:  View help for JEL Classification
      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:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 1/1985 – 8/2014
Data Type(s):  View help for Data Type(s) program source code; text


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