Working Paper
Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserve's asset purchase announcements
D'Amico, Stefania; Cahill, Michael E.; Li, Canlin; Sears, John S. (2013)
The FOMC's announcements of Treasury purchase programs and the subsequent or contemporaneous statements by the New York Fed about the programs' operational details provide a sequence of natural experiments with the potential to shed light on the relative importance of the duration risk channel versus the local supply channel for the transmission of supply effects to the term structure of interest rates. Using intraday security-level data on Treasury securities, we conduct five event studies to document the presence of local supply effects and duration risk effects. Further, using our new ...
Finance and Economics Discussion Series , Paper 2013-35