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Keywords:Treasury bonds 

Working Paper
Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields

Differences between yields on comparable-maturity U.S. Treasury nominal and real debt, the so-called breakeven inflation (BEI) rates, are widely used indicators of inflation expectations. However, better measures of inflation expectations could be obtained by subtracting inflation risk premiums from the BEI rates. We provide such decompositions using an estimated affine arbitrage-free model of the term structure that captures the pricing of both nominal and real Treasury securities. Our empirical results suggest that long-term inflation expectations have been well anchored over the past few ...
Working Paper Series , Paper 2008-34

The implementation of current asset purchases

Remarks at the Forecasters Club of New York, New York City.
Speech , Paper 100

The SOMA portfolio at $2.654 trillion

Remarks by Brian P. Sack before the Money Marketeers of New York University, New York City.
Speech , Paper 60

Preparing for a smooth (eventual) exit

Remarks at the National Association for Business Economics Policy Conference, Arlington, Virginia
Speech , Paper 17

Working Paper
The bond yield \"conundrum\" from a macro-finance perspective

In 2004 and 2005, long-term interest rates remained remarkably low despite improving economic conditions and rising short-term interest rates, a situation that former Fed Chairman Alan Greenspan dubbed a "conundrum." We document the extent and timing of this conundrum using two empirical no-arbitrage macro-finance models of the term structure of interest rates. These models confirm that the recent behavior of long-term yields has been unusual--that is, it cannot be explained within the framework of the models. Therefore, we consider other macroeconomic factors omitted from the models and ...
Working Paper Series , Paper 2006-16

Responses to the financial crisis, treasury debt, and the impact on short-term money markets

Several programs have been introduced by U.S. fiscal and monetary authorities in response to the financial crisis. We examine the responses involving Treasury debt?the Term Securities Lending Facility (TSLF), the Supplemental Financing Program, increases in Treasury issuance, and open market operations?and their impacts on the overnight Treasury general collateral repo rate, a key money market rate. Our contribution is to consider each policy in light of the others, both to help guide policy responses to future crises and to emphasize policy interactions. Only the TSLF was designed to ...
Staff Reports , Paper 481

The implementation of recent monetary policy actions

Remarks at the Annual Meeting with Primary Dealers, New York City.
Speech , Paper 64

Estimating the impacts of U.S. LSAPs on emerging market economies’ local currency bond markets

This paper examines whether large-scale asset purchases (LSAPs) by the Federal Reserve influenced capital flows out of the United States and into emerging market economies (EMEs) and also analyzes the degree of pass-through from long-term U.S. government bond yields to long-term EME bond yields. Using panel data from a broad array of EMEs, our empirical estimates suggest that a 10-basis-point reduction in long-term U.S. Treasury yields results in a 0.4-percentage-point increase in the foreign ownership share of emerging market debt. This, in turn, is estimated to reduce government bond yields ...
Staff Reports , Paper 595

Working Paper
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models

We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed- maturity zero-coupon bonds ('realized yield volatility') through the use of high-frequency data. We find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the cross- section of yields. We conclude that a broad class of affine diffusive, Gaussian-quadratic and affine ...
Working Paper Series , Paper WP-06-15

The implementation of current asset purchases

Remarks at the Annual Meeting with Primary Dealers, New York City.
Speech , Paper 98


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