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Official Demand for U.S. Debt: Implications for U.S. Real Rates

We estimate a structural term-structure model in which arbitrageurs accommodate demand pressures exerted by domestic and foreign official investors. Demand pressures can affect real rates by altering the aggregate price of duration risk, and therefore through changes in the bond risk premia. We find that foreign official demand pressures contributed to reduce long-term real yields largely in the 2001-08 period, whereas the Fed mainly during the subsequent quantitative easing program. Fed pressures arise not only from the expansion of the Fed's balance sheet, but also from the extension of its maturity profile while keeping its size constant.