Download this Paper Open PDF in Browser

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

92 Pages Posted: 29 Jul 2014 Last revised: 17 Nov 2017

Iryna Kaminska

Bank of England

Gabriele Zinna

Bank of Italy

Date Written: November 16, 2017


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.

Keywords: term structure of real rates; quantitative easing; global imbalances; Bayesian econometrics

JEL Classification: F31, G10

Suggested Citation

Kaminska, Iryna and Zinna, Gabriele, Official Demand for U.S. Debt: Implications for U.S. Real Rates (November 16, 2017). Available at SSRN: or

Iryna Kaminska

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Gabriele Zinna (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
00184 Roma


Paper statistics

Abstract Views