A probability-based stress test of Federal Reserve assets and income

• 成果类型: Article
• 署名作者: Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D.
• 署名单位: Federal Reserve System - USA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2015.03.007
• 发表日期: 2015
• 页码: 26-43
• 关键词: Term structure modeling; zero lower bound; monetary policy; quantitative easing

摘要

To support the economic recovery, the Federal Reserve amassed a large portfolio of long-term bonds. We assess the Fed's associated interest rate risk-including potential losses to its Treasury and mortgage-backed securities holdings and declines in the Fed's remittances to the Treasury. In assessing this interest rate risk, we use probabilities of alternative interest rate scenarios that are obtained from a dynamic term structure model that respects the zero lower bound on yields. The resulting probability-based stress tests indicate that large portfolio losses or a cessation of remittances to the Treasury are unlikely to occur over the next few years. Published by Elsevier B.V.