Bank of Canada: foreign US Treasury holders depressed long term yields
A paper published by the Bank of Canada in June studies the impact of international capital flows on asset prices and finds that its impact on excess returns depends on the source of the holder.
The author, Jesus Sierra, investigates whether foreign purchases of US Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. The author runs regressions of realised excess returns on measures of net purchases of treasuries by both foreign
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