Dollar reserves and US yields: Identifying the price impact of official flows☆

• 成果类型: Article
• 署名作者: Ahmed, Rashad; Rebucci, Alessandro
• 署名单位: United States Department of the Treasury; Office of the Comptroller of the Currency; Johns Hopkins University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2024.103974
• 发表日期: 2024
• 关键词: Bayesian VARs; Foreign official flows; Global savings glut; Identification via heteroskedasticity; Interest rate conundrum; International reserves; Price impact; US dollar; SVARs

摘要

By exploiting changes in the volatility of U.S. Treasury yields and foreign official (FO) flows into U.S. Treasuries after the 2008 Global Financial Crisis, we identify a FO flow shock via heteroskedasticity in a structural VAR. We estimate that a $100B FO flow shock moves 5 and 10-year U.S. yields by about 100 basis points within a month. An event study of the intraday U.S. Treasury yield curve response to Japan's FX intervention in September 2022 validates our VAR estimates. Our findings imply that a 1% reduction in the Dollar share of China's reserves could raise long-term U.S. yields by about 20 basis points.