Projected Evolution of the SOMA Portfolio and the 10-year Treasury Term Premium Effect

7 Pages Posted: 31 Dec 2018

See all articles by Brian Bonis

Brian Bonis

George Mason University; Board of Governors of the Federal Reserve System

Jane E. Ihrig

Federal Reserve Board - International Financial Transactions

Min Wei

Board of Governors of the Federal Reserve - Division of Monetary Affairs

Date Written: September 22, 2017

Abstract

An earlier Feds note used staff models to provide a projection for the evolution of the SOMA portfolio and an estimate of the associated term premium effect (TPE) on the 10-year Treasury yield. That analysis relied on economic, financial, and monetary policy assumptions as of April 2017. With the Federal Open Market Committee (FOMC) announcing a change in its reinvestment policy in its September 2017 post-meeting statement, this note provides updated projections.

Keywords: Federal Reserve, balance sheet, monetary policy

JEL Classification: E5

Suggested Citation

Bonis, Brian and Ihrig, Jane E. and Wei, Min, Projected Evolution of the SOMA Portfolio and the 10-year Treasury Term Premium Effect (September 22, 2017). GMU Working Paper in Economics (Forthcoming). Available at SSRN: https://ssrn.com/abstract=3300771

Brian Bonis (Contact Author)

George Mason University ( email )

4400 University Drive
Fairfax, VA 22030
United States

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Jane E. Ihrig

Federal Reserve Board - International Financial Transactions ( email )

20th and C Streets, NW
Washington, DC 20551
United States
202-452-3372 (Phone)
202-736-5638 (Fax)

Min Wei

Board of Governors of the Federal Reserve - Division of Monetary Affairs ( email )

20th and C Streets, NW
Washington, DC 20551
United States

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