Abstract
I use a new measure of surprise foreign official Treasury purchases, high-frequency data, and identification by heteroskedasticity to estimate the effect of Chinese official purchases of US Treasury securities on Treasury yields. Over the past decade, foreign official institutions have purchased Treasuries at an unprecedented rate. While existing studies suggest these purchases should depress yields, much of the empirical literature suffers from endogeneity bias. Applying a new identification technique, I overcome this bias and accordingly estimate larger impacts of purchases on yields. My results indicate that Chinese official interventions lowered Treasury yields in the mid-2000s by perhaps 100 basis points.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.