The Federal Reserve's 2009 program to purchase $300 billion of US Treasury securities
represented an unprecedented intervention in the Treasury market and provides a natural …

The FOMC's announcements of Treasury purchase programs and the subsequent or
contemporaneous statements by the New York Fed about the programs' operational details …

Asset allocation decisions of international investors are at the core of capital flows. This
paper explores the impact of these decisions on long-term government bond yields, using a …

We assess the impact of institutional investors' demand for gilts on UK real rates by
structurally estimating the model of. We therefore include those investors believed to display …

Inspired by the preferred habitat theory, we propose parametric interest rate models that split
the term structure into segments. The proposed models are compared with successful term …

Experience from the global financial crisis suggests that countries' borrowing costs are not
solely determined by macro and fiscal fundamentals. Factors such as ownership structures …

We estimate a structural term‐structure model of US real rates, where arbitrageurs
accommodate demand pressures exerted by domestic and foreign official investors. Official …

The first tremors of the global financial crisis and recession began in 2007. Financial strains
peaked in the fall of 2008 after the bankruptcy of Lehman Brothers. Economic activity …

We empirically investigate the importance of parameter uncertainty to bond investors. Using
a Bayesian approach, we quantify the expected utility loss due to parameter uncertainty from …

We decompose the VIX futures term structure into systematic components driving the VIX
and idiosyncratic components reflecting demand by various types of futures end‐users. We …