Impact of Foreign Official Purchases of US Treasuries on the Yield Curve
AEA Papers and Proceedings
vol. 110,
May 2020
(pp. 535-40)
Abstract
Foreign governments went from owning a tenth of publicly available US 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 toward 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.Citation
Wolcott, Erin L. 2020. "Impact of Foreign Official Purchases of US Treasuries on the Yield Curve." AEA Papers and Proceedings, 110: 535-40. DOI: 10.1257/pandp.20201124Additional Materials
JEL Classification
- E43 Interest Rates: Determination, Term Structure, and Effects
- E52 Monetary Policy
- E58 Central Banks and Their Policies
- F34 International Lending and Debt Problems
- E43 Interest Rates: Determination, Term Structure, and Effects
- E52 Monetary Policy
- E58 Central Banks and Their Policies