Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Agency mortgage-backed securities (MBS) 

Working Paper
Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs

This paper estimates an arbitrage-free term structure model with both observable yield factors and Treasury and Agency MBS supply factors, and uses it to evaluate the term premium effects of the Federal Reserve's large-scale asset purchase programs. Our estimates show that the first and the second large-scale asset purchase programs and the maturity extension program jointly reduced the 10-year Treasury yield by about 100 basis points.
Finance and Economics Discussion Series , Paper 2014-07

FILTER BY Content Type

FILTER BY Author

Li, Canlin 1 items

Wei, Min 1 items

FILTER BY Jel Classification

C5 1 items

E4 1 items

G1 1 items

PREVIOUS / NEXT