Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 20, 2018 erstellt
Beschreibung:
We estimate a structural term-structure model in which arbitrageurs accommodate demand pressures exerted by domestic and foreign official investors, as well as supply pressures. These pressures can affect real rates by altering the aggregate price of duration risk, thus through changes in bond risk premiums. While foreign-official pressures contributed to reduce long-term real rates mainly in the years prior to the global-financial crisis, Fed's pressures materialized during the QE period. Overall, the two-factor model, augmented to account for changing liquidity conditions, offers a good representation of real rates during the 2001-2016 period; however, we flag some caveats and possible extensions