Official Demand for U.S. Debt: Implications for U.S. Real Rates
构建了一个结构性期限结构模型，研究国内外官方投资者（如外国央行和美联储）对美国实际利率的影响，发现外国央行需求在金融危机前压低了长期实际利率，而美联储需求在量化宽松期间降低了利率。
Abstract We estimate a structural term‐structure model of U.S. real rates, where arbitrageurs accommodate demand pressures exerted by domestic and foreign official investors. Official demand affects rates by altering the aggregate price of duration risk, and thereby bond risk premiums. Although foreign central banks' demand contributed to reduce long‐term real rates mainly in the years prior to the global‐financial crisis, the Federal Reserve's demand lowered rates during the quantitative easing period. Overall, the two‐factor model, augmented to account for changing liquidity conditions, offers a good representation of real rates during the 2001–16 period; however, we flag some caveats and possible extensions.