Bond supply expectations and the term structure of interest rates

Altavilla, C., Brugnolini, L., G¨urkaynak, R. S., Motto, R., and Ragusa, G. (2019). Measuring euro area monetary policy. Journal of Monetary Economics, 108:162–179. Altavilla, C., Carboni, G., and Motto, R. (2015). Asset purchase programmes and financial markets: lessons from the euro area. ECB Working Paper No. 1864. Ang, A., Dong, S., and Piazzesi, M. (2007). No-arbitrage taylor rules. Technical report, National Bureau of Economic Research. Ang, A. and Piazzesi, M. (2003). A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary Economics, 50(4):745–787. Bahaj, S. (2020). Sovereign spreads in the euro area: Cross border transmission and macroeconomic implications. Journal of Monetary Economics, 110:116–135. Bauer, M. D. and Hamilton, J. D. (2017). Robust bond risk premia. Review of Financial Studies, 31(2):399–448. Bauer, M. D. and Rudebusch, G. D. (2016). Resolving the spanning puzzle in macro-finance term structure models. Review of Finance, 21(2):511–553. Bauer, M. D., Rudebusch, G. D., and Wu, J. C. (2012). Correcting estimation bias in dynamic term structure models. Journal of Business & Economic Statistics, 30(3):454–467. Beaudry, P. and Portier, F. (2006). Stock prices, news, and economic fluctuations. American Economic Review, 96(4):1293–1307. Beetsma, R., Giuliodori, M., De Jong, F., and Widijanto, D. (2013). Spread the news: The impact of news on the European sovereign bond markets during the crisis. Journal of International Money and finance, 34:83–101. Beetsma, R., Giuliodori, M., De Jong, F., and Widijanto, D. (2016). Price effects of sovereign debt auctions in the euro-zone: The role of the crisis. Journal of Financial Intermediation, 25:30–53. Berndt, A. and Yeltekin, S¸. (2015). Monetary policy, bond returns and debt dynamics. Journal of Monetary Economics, 73:119–136. Bernoth, K., Von Hagen, J., and Schuknecht, L. (2012). Sovereign risk premiums in the European government bond market. Journal of International Money and Finance, 31(5):975–995. Blattner, T. S. and Joyce, M. A. (2016). Net debt supply shocks in the euro area and the implications for QE. ECB Working Paper No. 1957. Chahrour, R. and Jurado, K. (2018). News or noise? the missing link. American Economic Review, 108(7):1702–36. Cieslak, A. and Povala, P. (2015). Expected returns in Treasury bonds. Review of Financial Studies, 28(10):2859–2901. Cochrane, J. H. and Piazzesi, M. (2005). Bond risk premia. American economic review, 95(1):138–160. Corsetti, G., Kuester, K., Meier, A., and M¨uller, G. J. (2014). Sovereign risk and belief-driven fluctuations in the euro area. Journal of Monetary Economics, 61:53–73. Cox, J. C., Ingersoll Jr, J. E., and Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, (53):385–407. Dai, Q. and Philippon, T. (2005). Fiscal policy and the term structure of interest rates. Technical report, National Bureau of Economic Research. Dai, Q. and Singleton, K. J. (2000). Specification analysis of affine term structure models. Journal of Finance, 55(5):1943–1978. D’Amico, S. and Kaminska, I. (2019). Credit easing versus quantitative easing: evidence from corporate and government bond purchase programs. Bank of England Staff Working Paper. D’Amico, S. and King, T. B. (2013). Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply. Journal of Financial Economics, 108(2):425–448. De Grauwe, P. and Ji, Y. (2012). Mispricing of sovereign risk and multiple equilibria in the eurozone. Centre for European Policy Working Paper, (361). De Santis, R. A. (2012). The euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal. ECB Working Paper, No. 1419. De Santis, R. A. and Holm-Hadulla, F. (2017). Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment. ECB Working Paper, No. 2052. Ederington, L. H. and Lee, J. H. (1993). How markets process information: News releases and volatility. The Journal of Finance, 48(4):1161–1191. Eser, F., Lemke, W., Nyholm, K., Radde, S., and Vladu, L. A. (2019). Tracing the impact of the ECB’s Asset Purchase Programme on the yield curve. ECB Working Paper Series, No 2293. Falagiarda, M. and Gregori, W. D. (2015). The impact of fiscal policy announcements by the Italian government on the sovereign spread: A comparative analysis. European Journal of Political Economy, 39:288–304. Gagnon, J., Raskin, M., Remache, J., Sack, B., et al. (2011). The financial market effects of the federal reserve large-scale asset purchases. International Journal of Central Banking, 7(1):3–43. Gambetti, L. and Musso, A. (2017). The macroeconomic impact of the ECB’s expanded Asset Purchase Programme (APP). Working Paper. Gerlach, S., Schulz, A., and Wolff, G. B. (2010). Banking and sovereign risk in the euro area. Bundesbank Discussion Paper. Greenwood, R., Hanson, S., and Vayanos, D. (2015). Forward guidance in the yield curve: short rates versus bond supply. NBER Working Paper No. 21750. Greenwood, R. and Vayanos, D. (2014). Bond supply and excess bond returns. Review of Financial Studies, 27(3):663–713. Ireland, P. N. (2015). Monetary policy, bond risk premia, and the economy. Journal of Monetary Economics, 76:124–140. Joslin, S., Le, A., and Singleton, K. J. (2013). Why gaussian macro-finance term structure models are (nearly) unconstrained factor-vars. Journal of Financial Economics, 109(3):604–622. Joslin, S., Priebsch, M., and Singleton, K. J. (2014). Risk premiums in dynamic term structure models with unspanned macro risks. Journal of Finance, 69(3):1197–1233. Joslin, S., Singleton, K. J., and Zhu, H. (2011). A new perspective on gaussian dynamic term structure models. Review of Financial Studies, 24(3):926–970. Joyce, M., Lasaosa, A., Stevens, I., Tong, M., et al. (2011). The financial market impact of Quantitative Easing in the United Kingdom. International Journal of Central Banking, 7(3):113–161. Keloharju, M., Malkam¨aki, M., Nyborg, K. G., and Rydqvist, K. (2002). A descriptive analysis of the finnish treasury bond market 1991-1999. Bank of Finland Research Discussion Paper, (16). Kim, D. H. and Orphanides, A. (2005). Term structure estimation with survey data on interest rate forecasts. Journal of Financial and Quantitative Analysis, 47(1):241–272. King, T. B. (2019). Expectation and duration at the effective lower bound. Journal of Financial Economics, 134(3):736–760. Koijen, R. S., Koulischer, F., Nguyen, B., and Yogo, M. (2016). Quantitative easing in the euro area: The dynamics of risk exposures and the impact on asset prices. Banque de France Working Paper No.601. Krishnamurthy, A., Nagel, S., and Vissing-Jorgensen, A. (2018). ECB policies involving government bond purchases: Impact and channels. Review of Finance, 22(1):1–44. Krishnamurthy, A. and Vissing-Jorgensen, A. (2011). The effects of Quantitative Easing on interest rates: channels and implications for policy. Brooking Papers of Economic Activity. Krishnamurthy, A. and Vissing-Jorgensen, A. (2012). The aggregate demand for Treasury debt. Journal of Political Economy, 120(2):233–267. Laubach, T. (2009). New evidence on the interest rate effects of budget deficits and debt. Journal of the European Economic Association, 7(4):858–885. Lemke, W. and Werner, T. (2020). Dissecting long-term bund yields in the run-up to the ECB public sector purchase programme. Journal of Banking & Finance, 111:105682. Li, C. and Wei, M. (2013). Term structure modeling with supply factors and the Federal Reserve large-scale asset purchase programs. International Journal of Central Banking, 9(1). Litterman, R. and Scheinkman, J. (1991). Common factors affecting bond returns. Journal of fixed income, 1(1):54–61. Lou, D., Yan, H., and Zhang, J. (2013). Anticipated and repeated shocks in liquid markets. The Review of Financial Studies, 26(8):1891–1912. Ludvigson, S. C. and Ng, S. (2009). Macro factors in bond risk premia. Review of Financial Studies, 22(12):5027–5067. Modigliani, F. and Sutch, R. (1966). Innovations in interest rate policy. American Economic Review, 56(1/2):178–197. Monfort, A. and Renne, J.-P. (2014). Decomposing euro-area sovereign spreads: credit and liquidity risks. Review of Finance, 18(6):2103–2151. Newey, W. K. and West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55:703–8. Patell, J. M. and Wolfson, M. A. (1979). Anticipated information releases reflected in call option prices. Journal of accounting and economics, 1(2):117–140. Phillot, M. (2021). Us treasury auctions: A high frequency identification of supply shocks. American Economic Journal: Macroeconomics. Rudebusch, G. D. and Wu, T. (2008). A macro-finance model of the term structure, monetary policy and the economy. The Economic Journal, 118(530):906–926. Schwarz, K. (2019). Mind the gap: Disentangling credit and liquidity in risk spreads. Review of Finance, 23(3):557–597. Sigaux, J. D. (2018). Trading ahead of treasury auctions. ECB Working Paper. Smith, J. M. and Taylor, J. B. (2009). The term structure of policy rules. Journal of Monetary Economics, 56(7):907–917. Thomas, L. B. and Wu, D. (2009). Long-term interest rates and expected future budget deficits: evidence from the term structure. Applied Economics Letters, 16(4):365–368. Tobin, J. (1958). Liquidity preference as behavior towards risk. Review of Economic Studies, 25(2):65–86. Tobin, J. (1969). A general equilibrium approach to monetary theory. Journal of Money, Credit and Banking, 1(1):15–29. Vayanos, D. and Vila, J.-L. (2009). A preferred-habitat model of the term structure of interest rates. Technical report, Financial Markets Group. Vayanos, D. and Vila, J.-L. (2021). A preferred-habitat model of the term structure of interest rates. Econometrica, 89(1):77–112. Wieladek, T. and Garcia Pascual, A. I. (2016). The European Central Bank’s QE: A New Hope. CEPR Discussion Papers No. 11309.