Front Matter Page
Strategy, Policy, and Review
Contents
Abstract
I. Introduction
II. Stylized Facts about the U.S. Yield Curve
A. Supply of and Demand for Treasuries
Domestic official holdings of U.S. Treasury securities
Foreign official holdings of U.S. Treasury securities
B. Long-Term Interest rates and the Term Premium
C. How Do Foreign Official Purchases Affect U.S. Treasuries: An Overview of the Literature
III. Quantifying the Impact of Foreign Official Purchases of U.S Treasuries
A. Econometric Framework
B. Sample and Data
C. Econometric Results
D. Robustness Analysis
E. Counterfactual Analysis: Assessing the Impact of Policies to Reduce the Excess Global Demand for Reserves
IV. Some Policy Implications for the International Monetary System
V. Conclusions
References
Table
1. Baseline Term Premium Equation
2. Robustness Analysis: Term Premium Equation
Figures
1. Domestic Official Holdings of U.S. Treasury Securities
2. Foreign Official Holdings of U.S. Treasury Securities
3. Foreign Exchange Reserves and its Currency Breakdown
4. U.S. Treasury Yield Dynamics and the Federal Funds Rate
5. Term Premia, Risk Perception, and UMP
6. Long-Term Disequilibrium and the Contribution of Foreign Official Holdings to
Box
1. U.S. Treasuries and the Global Policy Debate
Annexes
1. Announcements by the Federal Reserve
2. Theoretical Framework
3. Cointegration Tests