I employ a sign-identified vector autoregression (VAR) in foreign Treasury purchases and factors of the yield curve to estimate the dynamic impacts of foreign Treasury purchases on Treasury yields. Although a growing literature studies this question, it does not adequately address the...

This study examines the variation in the premium implicit in the yield curve of 12-month Treasury Bills during the period 1992–2002. This premium is measured using a number of econometric methods, one of which allows for the estimated premium to react to uncertainty as measured by the variance...