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Foreign official purchases of U.S. treasuries and mortgage rates

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  • Jing Fang
  • Dingming Liu

Abstract

This paper investigates the effects of foreign official purchases of U.S. treasuries on mortgage rates from January 1985 to June 2007 using a proxy structural vector autoregression (SVAR) model, where shocks to foreign official inflows to treasuries are identified by their correlation with foreign exchange interventions. Although mortgage rates significantly decrease in response to positive shocks to foreign official purchases of U.S. treasuries, these shocks only explain a small fraction of the variation in the U.S. mortgage rate.

Suggested Citation

  • Jing Fang & Dingming Liu, 2019. "Foreign official purchases of U.S. treasuries and mortgage rates," Applied Economics Letters, Taylor & Francis Journals, vol. 26(16), pages 1306-1312, September.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:16:p:1306-1312
    DOI: 10.1080/13504851.2018.1558330
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