
Finance and Economics Discussion Series: Accessible Versions of Figures in 201052
*
Flow and Stock Effects of Large-Scale Treasury Purchases
Stefania D'Amico and Thomas B. King
Figure 1. Maturity Distribution of Nominal Treasury LSAP Purchases
| Maturity bin |
0-2 |
2-4 |
4-6 |
6-8 |
8-10 |
10-12 |
12-14 |
14-16 |
16-18 |
18-20 |
20-22 |
26-28 |
28-30 |
| Dollar amounts |
$18 |
$74 |
$70 |
$69 |
$13 |
$13 |
$8 |
$3 |
$6 |
$5 |
$2 |
$1 |
$4 |
| Percentages of sector |
1% |
9% |
12% |
18% |
4% |
15% |
10% |
6% |
10% |
8% |
5% |
1% |
4% |
Figure 2. Selected Treasury Yields during the Treasury LSAP Program
| |
30yr |
20yr |
10yr |
7yr |
5yr |
3yr |
2yr |
1yr |
| 1/2/2009 |
2.83 |
3.22 |
2.46 |
2.07 |
1.72 |
1.14 |
0.88 |
0.4 |
| 1/5/2009 |
3 |
3.37 |
2.49 |
2.07 |
1.67 |
1.08 |
0.78 |
0.43 |
| 1/6/2009 |
3.04 |
3.41 |
2.51 |
2.07 |
1.68 |
1.1 |
0.80 |
0.45 |
| 1/7/2009 |
3.05 |
3.41 |
2.52 |
2.02 |
1.66 |
1.15 |
0.82 |
0.44 |
| 1/8/2009 |
3.04 |
3.4 |
2.47 |
1.95 |
1.6 |
1.16 |
0.83 |
0.44 |
| 1/9/2009 |
3.04 |
3.39 |
2.43 |
1.88 |
1.51 |
1.11 |
0.75 |
0.43 |
| 1/12/2009 |
2.99 |
3.3 |
2.34 |
1.81 |
1.45 |
1.09 |
0.74 |
0.43 |
| 1/13/2009 |
3 |
3.3 |
2.33 |
1.8 |
1.44 |
1.07 |
0.76 |
0.43 |
| 1/14/2009 |
2.89 |
3.17 |
2.24 |
1.71 |
1.36 |
1.03 |
0.73 |
0.42 |
| 1/15/2009 |
2.86 |
3.16 |
2.23 |
1.71 |
1.36 |
1.01 |
0.73 |
0.42 |
| 1/16/2009 |
2.89 |
3.22 |
2.36 |
1.83 |
1.47 |
1.05 |
0.73 |
0.43 |
| 1/20/2009 |
2.97 |
3.3 |
2.4 |
1.85 |
1.48 |
1.06 |
0.73 |
0.42 |
| 1/21/2009 |
3.15 |
3.51 |
2.56 |
1.99 |
1.6 |
1.12 |
0.78 |
0.43 |
| 1/22/2009 |
3.25 |
3.61 |
2.62 |
2.02 |
1.61 |
1.11 |
0.75 |
0.42 |
| 1/23/2009 |
3.32 |
3.65 |
2.65 |
2.05 |
1.64 |
1.16 |
0.83 |
0.46 |
| 1/26/2009 |
3.39 |
3.71 |
2.7 |
2.09 |
1.67 |
1.21 |
0.85 |
0.47 |
| 1/27/2009 |
3.26 |
3.57 |
2.59 |
1.99 |
1.59 |
1.15 |
0.87 |
0.47 |
| 1/28/2009 |
3.44 |
3.73 |
2.71 |
2.1 |
1.7 |
1.22 |
0.89 |
0.48 |
| 1/29/2009 |
3.57 |
3.85 |
2.87 |
2.28 |
1.87 |
1.34 |
0.95 |
0.51 |
| 1/30/2009 |
3.58 |
3.86 |
2.87 |
2.27 |
1.85 |
1.32 |
0.94 |
0.51 |
| 2/2/2009 |
3.47 |
3.75 |
2.76 |
2.16 |
1.75 |
1.27 |
0.89 |
0.51 |
| 2/3/2009 |
3.64 |
3.88 |
2.89 |
2.28 |
1.88 |
1.37 |
0.96 |
0.53 |
| 2/4/2009 |
3.65 |
3.88 |
2.95 |
2.32 |
1.91 |
1.42 |
0.98 |
0.53 |
| 2/5/2009 |
3.63 |
3.86 |
2.95 |
2.32 |
1.89 |
1.4 |
0.98 |
0.54 |
| 2/6/2009 |
3.7 |
3.94 |
3.05 |
2.4 |
1.97 |
1.44 |
0.99 |
0.57 |
| 2/9/2009 |
3.69 |
3.91 |
3.07 |
2.42 |
1.99 |
1.5 |
1.05 |
0.6 |
| 2/10/2009 |
3.54 |
3.77 |
2.9 |
2.23 |
1.79 |
1.31 |
0.92 |
0.6 |
| 2/11/2009 |
3.45 |
3.69 |
2.78 |
2.17 |
1.76 |
1.32 |
0.93 |
0.6 |
| 2/12/2009 |
3.47 |
3.71 |
2.75 |
2.14 |
1.73 |
1.28 |
0.89 |
0.58 |
| 2/13/2009 |
3.68 |
3.91 |
2.89 |
2.29 |
1.88 |
1.37 |
0.97 |
0.61 |
| 2/17/2009 |
3.47 |
3.7 |
2.64 |
2.05 |
1.65 |
1.22 |
0.87 |
0.61 |
| 2/18/2009 |
3.54 |
3.77 |
2.74 |
2.18 |
1.81 |
1.33 |
0.97 |
0.64 |
| 2/19/2009 |
3.68 |
3.92 |
2.85 |
2.28 |
1.89 |
1.38 |
1.01 |
0.67 |
| 2/20/2009 |
3.56 |
3.82 |
2.78 |
2.21 |
1.81 |
1.3 |
0.96 |
0.64 |
| 2/23/2009 |
3.53 |
3.79 |
2.78 |
2.22 |
1.84 |
1.34 |
0.96 |
0.69 |
| 2/24/2009 |
3.49 |
3.77 |
2.8 |
2.26 |
1.89 |
1.37 |
1.03 |
0.71 |
| 2/25/2009 |
3.59 |
3.88 |
2.95 |
2.42 |
2.06 |
1.49 |
1.09 |
0.75 |
| 2/26/2009 |
3.66 |
3.93 |
2.98 |
2.72 |
2.07 |
1.5 |
1.08 |
0.73 |
| 2/27/2009 |
3.71 |
3.98 |
3.02 |
2.69 |
1.99 |
1.4 |
1.00 |
0.72 |
| 3/2/2009 |
3.64 |
3.89 |
2.91 |
2.54 |
1.86 |
1.28 |
0.89 |
0.67 |
| 3/3/2009 |
3.67 |
3.92 |
2.93 |
2.58 |
1.87 |
1.31 |
0.91 |
0.68 |
| 3/4/2009 |
3.69 |
3.96 |
3.01 |
2.67 |
1.97 |
1.4 |
0.97 |
0.71 |
| 3/5/2009 |
3.51 |
3.76 |
2.83 |
2.49 |
1.82 |
1.3 |
0.90 |
0.66 |
| 3/6/2009 |
3.5 |
3.74 |
2.83 |
2.49 |
1.83 |
1.34 |
0.91 |
0.67 |
| 3/9/2009 |
3.59 |
3.83 |
2.89 |
2.53 |
1.9 |
1.38 |
0.96 |
0.69 |
| 3/10/2009 |
3.7 |
3.94 |
2.99 |
2.63 |
1.99 |
1.46 |
1.01 |
0.71 |
| 3/11/2009 |
3.67 |
3.88 |
2.95 |
2.56 |
1.96 |
1.45 |
1.03 |
0.71 |
| 3/12/2009 |
3.63 |
3.82 |
2.89 |
2.5 |
1.92 |
1.42 |
1.03 |
0.7 |
| 3/13/2009 |
3.66 |
3.84 |
2.89 |
2.48 |
1.87 |
1.36 |
0.98 |
0.67 |
| 3/16/2009 |
3.76 |
3.93 |
2.97 |
2.55 |
1.91 |
1.39 |
1.00 |
0.69 |
| 3/17/2009 |
3.83 |
3.99 |
3.02 |
2.64 |
2 |
1.45 |
1.05 |
0.69 |
| 3/18/2009 |
3.57 |
3.65 |
2.51 |
2.11 |
1.54 |
1.14 |
0.82 |
0.6 |
| 3/19/2009 |
3.62 |
3.64 |
2.61 |
2.17 |
1.64 |
1.21 |
0.87 |
0.6 |
| 3/20/2009 |
3.65 |
3.67 |
2.65 |
2.18 |
1.66 |
1.23 |
0.89 |
0.6 |
| 3/23/2009 |
3.69 |
3.7 |
2.68 |
2.2 |
1.69 |
1.25 |
0.93 |
0.6 |
| 3/24/2009 |
3.6 |
3.64 |
2.68 |
2.22 |
1.7 |
1.24 |
0.93 |
0.62 |
| 3/25/2009 |
3.73 |
3.76 |
2.81 |
2.36 |
1.84 |
1.35 |
0.96 |
0.6 |
| 3/26/2009 |
3.66 |
3.69 |
2.76 |
2.34 |
1.8 |
1.29 |
0.90 |
0.57 |
| 3/27/2009 |
3.62 |
3.66 |
2.78 |
2.36 |
1.79 |
1.27 |
0.90 |
0.58 |
| 3/30/2009 |
3.6 |
3.64 |
2.73 |
2.31 |
1.72 |
1.2 |
0.84 |
0.58 |
| 3/31/2009 |
3.56 |
3.61 |
2.71 |
2.28 |
1.67 |
1.15 |
0.81 |
0.57 |
| 4/1/2009 |
3.51 |
3.54 |
2.68 |
2.25 |
1.65 |
1.16 |
0.83 |
0.58 |
| 4/2/2009 |
3.57 |
3.63 |
2.77 |
2.35 |
1.74 |
1.25 |
0.88 |
0.59 |
| 4/3/2009 |
3.7 |
3.77 |
2.91 |
2.51 |
1.87 |
1.36 |
0.96 |
0.6 |
| 4/6/2009 |
3.73 |
3.82 |
2.95 |
2.55 |
1.9 |
1.37 |
0.94 |
0.6 |
| 4/7/2009 |
3.72 |
3.79 |
2.93 |
2.51 |
1.87 |
1.33 |
0.91 |
0.6 |
| 4/8/2009 |
3.66 |
3.74 |
2.86 |
2.43 |
1.83 |
1.34 |
0.93 |
0.59 |
| 4/9/2009 |
3.76 |
3.85 |
2.96 |
2.49 |
1.9 |
1.36 |
0.96 |
0.6 |
| 4/13/2009 |
3.69 |
3.78 |
2.88 |
2.39 |
1.81 |
1.27 |
0.89 |
0.57 |
| 4/14/2009 |
3.64 |
3.73 |
2.8 |
2.31 |
1.71 |
1.21 |
0.86 |
0.54 |
| 4/15/2009 |
3.66 |
3.75 |
2.82 |
2.29 |
1.71 |
1.22 |
0.86 |
0.54 |
| 4/16/2009 |
3.72 |
3.81 |
2.86 |
2.36 |
1.79 |
1.27 |
0.91 |
0.54 |
| 4/17/2009 |
3.79 |
3.91 |
2.98 |
2.48 |
1.91 |
1.36 |
0.99 |
0.57 |
| 4/20/2009 |
3.69 |
3.8 |
2.88 |
2.39 |
1.82 |
1.27 |
0.93 |
0.54 |
| 4/21/2009 |
3.74 |
3.86 |
2.94 |
2.46 |
1.87 |
1.32 |
0.96 |
0.53 |
| 4/22/2009 |
3.82 |
3.93 |
2.98 |
2.5 |
1.92 |
1.36 |
1.00 |
0.52 |
| 4/23/2009 |
3.8 |
3.9 |
2.96 |
2.49 |
1.89 |
1.34 |
0.97 |
0.49 |
| 4/24/2009 |
3.89 |
3.99 |
3.03 |
2.56 |
1.96 |
1.38 |
0.99 |
0.5 |
| 4/27/2009 |
3.84 |
3.92 |
2.95 |
2.48 |
1.87 |
1.31 |
0.90 |
0.49 |
| 4/28/2009 |
3.97 |
4.03 |
3.05 |
2.58 |
1.97 |
1.39 |
0.95 |
0.52 |
| 4/29/2009 |
4.01 |
4.07 |
3.12 |
2.69 |
2.01 |
1.4 |
0.94 |
0.5 |
| 4/30/2009 |
4.05 |
4.1 |
3.16 |
2.7 |
2.02 |
1.38 |
0.91 |
0.49 |
| 5/1/2009 |
4.09 |
4.14 |
3.21 |
2.72 |
2.03 |
1.39 |
0.92 |
0.49 |
| 5/4/2009 |
4.06 |
4.11 |
3.19 |
2.7 |
2.03 |
1.4 |
0.94 |
0.52 |
| 5/5/2009 |
4.06 |
4.11 |
3.2 |
2.7 |
2.05 |
1.46 |
0.98 |
0.53 |
| 5/6/2009 |
4.09 |
4.12 |
3.18 |
2.7 |
2.06 |
1.43 |
0.96 |
0.51 |
| 5/7/2009 |
4.25 |
4.26 |
3.29 |
2.8 |
2.15 |
1.46 |
1.00 |
0.54 |
| 5/8/2009 |
4.28 |
4.25 |
3.29 |
2.78 |
2.15 |
1.44 |
1.00 |
0.55 |
| 5/11/2009 |
4.18 |
4.15 |
3.17 |
2.67 |
2.04 |
1.34 |
0.92 |
0.53 |
| 5/12/2009 |
4.16 |
4.13 |
3.17 |
2.67 |
2.02 |
1.34 |
0.90 |
0.54 |
| 5/13/2009 |
4.09 |
4.06 |
3.11 |
2.62 |
1.98 |
1.31 |
0.89 |
0.52 |
| 5/14/2009 |
4.06 |
4.04 |
3.1 |
2.62 |
1.98 |
1.3 |
0.87 |
0.5 |
| 5/15/2009 |
4.09 |
4.07 |
3.14 |
2.65 |
2.01 |
1.3 |
0.88 |
0.5 |
| 5/18/2009 |
4.18 |
4.16 |
3.22 |
2.73 |
2.09 |
1.36 |
0.93 |
0.5 |
| 5/19/2009 |
4.21 |
4.19 |
3.25 |
2.76 |
2.12 |
1.37 |
0.91 |
0.48 |
| 5/20/2009 |
4.14 |
4.11 |
3.19 |
2.72 |
2.05 |
1.31 |
0.87 |
0.44 |
| 5/21/2009 |
4.3 |
4.27 |
3.35 |
2.86 |
2.16 |
1.36 |
0.89 |
0.45 |
| 5/22/2009 |
4.38 |
4.36 |
3.45 |
2.96 |
2.23 |
1.39 |
0.92 |
0.49 |
| 5/26/2009 |
4.45 |
4.42 |
3.5 |
3.05 |
2.3 |
1.45 |
0.96 |
0.5 |
| 5/27/2009 |
4.59 |
4.58 |
3.71 |
3.22 |
2.43 |
1.5 |
0.96 |
0.49 |
| 5/28/2009 |
4.54 |
4.52 |
3.67 |
3.22 |
2.46 |
1.52 |
0.97 |
0.48 |
| 5/29/2009 |
4.34 |
4.34 |
3.47 |
3.06 |
2.34 |
1.42 |
0.92 |
0.47 |
| 6/1/2009 |
4.55 |
4.56 |
3.71 |
3.28 |
2.55 |
1.52 |
0.97 |
0.48 |
| 6/2/2009 |
4.5 |
4.51 |
3.65 |
3.26 |
2.52 |
1.52 |
0.96 |
0.46 |
| 6/3/2009 |
4.45 |
4.44 |
3.56 |
3.16 |
2.43 |
1.47 |
0.91 |
0.45 |
| 6/4/2009 |
4.58 |
4.58 |
3.72 |
3.31 |
2.56 |
1.54 |
0.96 |
0.47 |
| 6/5/2009 |
4.63 |
4.64 |
3.84 |
3.53 |
2.85 |
1.88 |
1.32 |
0.62 |
| 6/8/2009 |
4.65 |
4.66 |
3.91 |
3.6 |
2.95 |
2 |
1.42 |
0.62 |
| 6/9/2009 |
4.64 |
4.65 |
3.86 |
3.51 |
2.86 |
1.93 |
1.33 |
0.56 |
| 6/10/2009 |
4.76 |
4.75 |
3.98 |
3.59 |
2.93 |
2 |
1.38 |
0.55 |
| 6/11/2009 |
4.69 |
4.67 |
3.88 |
3.49 |
2.87 |
1.97 |
1.35 |
0.53 |
| 6/12/2009 |
4.65 |
4.63 |
3.81 |
3.46 |
2.81 |
1.91 |
1.30 |
0.52 |
| 6/15/2009 |
4.61 |
4.58 |
3.76 |
3.39 |
2.75 |
1.84 |
1.26 |
0.51 |
| 6/16/2009 |
4.48 |
4.47 |
3.67 |
3.32 |
2.7 |
1.79 |
1.23 |
0.51 |
| 6/17/2009 |
4.5 |
4.47 |
3.68 |
3.33 |
2.69 |
1.76 |
1.19 |
0.5 |
| 6/18/2009 |
4.63 |
4.62 |
3.86 |
3.51 |
2.86 |
1.88 |
1.28 |
0.52 |
| 6/19/2009 |
4.52 |
4.54 |
3.79 |
3.45 |
2.82 |
1.84 |
1.25 |
0.51 |
| 6/22/2009 |
4.45 |
4.45 |
3.72 |
3.37 |
2.75 |
1.77 |
1.17 |
0.5 |
| 6/23/2009 |
4.37 |
4.36 |
3.65 |
3.31 |
2.71 |
1.74 |
1.14 |
0.5 |
| 6/24/2009 |
4.44 |
4.43 |
3.72 |
3.39 |
2.74 |
1.79 |
1.19 |
0.5 |
| 6/25/2009 |
4.33 |
4.31 |
3.55 |
3.22 |
2.58 |
1.66 |
1.12 |
0.47 |
| 6/26/2009 |
4.3 |
4.28 |
3.52 |
3.18 |
2.53 |
1.63 |
1.10 |
0.45 |
| 6/29/2009 |
4.31 |
4.29 |
3.51 |
3.18 |
2.53 |
1.63 |
1.11 |
0.51 |
| 6/30/2009 |
4.32 |
4.3 |
3.53 |
3.19 |
2.54 |
1.64 |
1.11 |
0.56 |
| 7/1/2009 |
4.34 |
4.32 |
3.55 |
3.2 |
2.51 |
1.57 |
1.05 |
0.54 |
| 7/2/2009 |
4.32 |
4.28 |
3.51 |
3.14 |
2.43 |
1.52 |
0.98 |
0.49 |
| 7/6/2009 |
4.35 |
4.29 |
3.52 |
3.12 |
2.4 |
1.48 |
0.96 |
0.48 |
| 7/7/2009 |
4.31 |
4.25 |
3.47 |
3.08 |
2.36 |
1.52 |
0.98 |
0.46 |
| 7/8/2009 |
4.17 |
4.13 |
3.33 |
2.9 |
2.23 |
1.42 |
0.91 |
0.45 |
| 7/9/2009 |
4.31 |
4.26 |
3.44 |
3.01 |
2.33 |
1.46 |
0.94 |
0.47 |
| 7/10/2009 |
4.2 |
4.16 |
3.32 |
2.89 |
2.22 |
1.4 |
0.91 |
0.45 |
| 7/13/2009 |
4.25 |
4.21 |
3.38 |
2.94 |
2.27 |
1.41 |
0.92 |
0.47 |
| 7/14/2009 |
4.38 |
4.35 |
3.5 |
3.05 |
2.37 |
1.48 |
0.97 |
0.47 |
| 7/15/2009 |
4.48 |
4.46 |
3.63 |
3.19 |
2.52 |
1.6 |
1.03 |
0.5 |
| 7/16/2009 |
4.45 |
4.43 |
3.59 |
3.13 |
2.46 |
1.54 |
1.00 |
0.47 |
| 7/17/2009 |
4.53 |
4.51 |
3.67 |
3.21 |
2.52 |
1.58 |
1.02 |
0.48 |
| 7/20/2009 |
4.47 |
4.45 |
3.61 |
3.14 |
2.46 |
1.54 |
0.99 |
0.47 |
| 7/21/2009 |
4.38 |
4.35 |
3.5 |
3.03 |
2.36 |
1.47 |
0.96 |
0.46 |
| 7/22/2009 |
4.45 |
4.42 |
3.58 |
3.11 |
2.43 |
1.5 |
0.98 |
0.47 |
| 7/23/2009 |
4.58 |
4.55 |
3.72 |
3.28 |
2.6 |
1.62 |
1.08 |
0.49 |
| 7/24/2009 |
4.55 |
4.53 |
3.7 |
3.25 |
2.57 |
1.59 |
1.05 |
0.47 |
| 7/27/2009 |
4.62 |
4.6 |
3.75 |
3.31 |
2.63 |
1.63 |
1.08 |
0.49 |
| 7/28/2009 |
4.56 |
4.54 |
3.72 |
3.3 |
2.63 |
1.66 |
1.12 |
0.49 |
| 7/29/2009 |
4.5 |
4.49 |
3.69 |
3.31 |
2.69 |
1.72 |
1.17 |
0.5 |
| 7/30/2009 |
4.44 |
4.44 |
3.67 |
3.31 |
2.66 |
1.73 |
1.19 |
0.48 |
| 7/31/2009 |
4.31 |
4.29 |
3.52 |
3.14 |
2.53 |
1.62 |
1.13 |
0.48 |
| 8/3/2009 |
4.42 |
4.4 |
3.66 |
3.3 |
2.66 |
1.72 |
1.18 |
0.48 |
| 8/4/2009 |
4.45 |
4.44 |
3.7 |
3.32 |
2.68 |
1.75 |
1.20 |
0.47 |
| 8/5/2009 |
4.57 |
4.54 |
3.8 |
3.4 |
2.73 |
1.78 |
1.23 |
0.49 |
| 8/6/2009 |
4.53 |
4.51 |
3.79 |
3.39 |
2.73 |
1.77 |
1.22 |
0.48 |
| 8/7/2009 |
4.61 |
4.59 |
3.89 |
3.5 |
2.84 |
1.87 |
1.32 |
0.52 |
| 8/10/2009 |
4.52 |
4.49 |
3.8 |
3.4 |
2.75 |
1.79 |
1.24 |
0.49 |
| 8/11/2009 |
4.44 |
4.4 |
3.71 |
3.32 |
2.69 |
1.78 |
1.21 |
0.48 |
| 8/12/2009 |
4.53 |
4.49 |
3.72 |
3.35 |
2.7 |
1.76 |
1.18 |
0.47 |
| 8/13/2009 |
4.44 |
4.37 |
3.59 |
3.22 |
2.58 |
1.66 |
1.12 |
0.45 |
| 8/14/2009 |
4.41 |
4.33 |
3.55 |
3.17 |
2.51 |
1.61 |
1.07 |
0.44 |
| 8/17/2009 |
4.33 |
4.26 |
3.48 |
3.09 |
2.43 |
1.54 |
1.04 |
0.45 |
| 8/18/2009 |
4.35 |
4.29 |
3.51 |
3.13 |
2.48 |
1.57 |
1.06 |
0.43 |
| 8/19/2009 |
4.28 |
4.23 |
3.45 |
3.07 |
2.43 |
1.52 |
1.01 |
0.43 |
| 8/20/2009 |
4.24 |
4.18 |
3.42 |
3.06 |
2.43 |
1.53 |
1.03 |
0.42 |
| 8/21/2009 |
4.36 |
4.32 |
3.56 |
3.21 |
2.58 |
1.65 |
1.13 |
0.45 |
| 8/24/2009 |
4.27 |
4.22 |
3.48 |
3.13 |
2.5 |
1.57 |
1.05 |
0.44 |
| 8/25/2009 |
4.22 |
4.17 |
3.45 |
3.1 |
2.48 |
1.56 |
1.05 |
0.47 |
| 8/26/2009 |
4.2 |
4.15 |
3.44 |
3.09 |
2.46 |
1.57 |
1.06 |
0.45 |
| 8/27/2009 |
4.23 |
4.19 |
3.47 |
3.12 |
2.48 |
1.58 |
1.04 |
0.46 |
| 8/28/2009 |
4.21 |
4.17 |
3.46 |
3.09 |
2.46 |
1.55 |
1.01 |
0.44 |
| 8/31/2009 |
4.18 |
4.14 |
3.4 |
3.03 |
2.39 |
1.49 |
0.97 |
0.43 |
| 9/1/2009 |
4.19 |
4.14 |
3.38 |
2.99 |
2.33 |
1.44 |
0.92 |
0.43 |
| 9/2/2009 |
4.09 |
4.04 |
3.29 |
2.91 |
2.26 |
1.39 |
0.89 |
0.41 |
| 9/3/2009 |
4.15 |
4.09 |
3.33 |
2.95 |
2.29 |
1.42 |
0.91 |
0.42 |
| 9/4/2009 |
4.27 |
4.21 |
3.45 |
3.06 |
2.36 |
1.46 |
0.94 |
0.42 |
| 9/8/2009 |
4.31 |
4.24 |
3.47 |
3.06 |
2.38 |
1.49 |
0.93 |
0.41 |
| 9/9/2009 |
4.33 |
4.26 |
3.48 |
3.07 |
2.38 |
1.48 |
0.93 |
0.4 |
| 9/10/2009 |
4.19 |
4.11 |
3.36 |
2.95 |
2.29 |
1.42 |
0.90 |
0.4 |
| 9/11/2009 |
4.18 |
4.1 |
3.34 |
2.93 |
2.29 |
1.42 |
0.90 |
0.39 |
| 9/14/2009 |
4.22 |
4.16 |
3.42 |
3.01 |
2.37 |
1.46 |
0.94 |
0.4 |
| 9/15/2009 |
4.27 |
4.21 |
3.47 |
3.07 |
2.41 |
1.49 |
0.96 |
0.39 |
| 9/16/2009 |
4.26 |
4.22 |
3.48 |
3.11 |
2.46 |
1.55 |
1.01 |
0.38 |
| 9/17/2009 |
4.19 |
4.14 |
3.42 |
3.04 |
2.41 |
1.51 |
0.98 |
0.4 |
| 9/18/2009 |
4.24 |
4.2 |
3.49 |
3.12 |
2.49 |
1.57 |
1.03 |
0.41 |
| 9/21/2009 |
4.23 |
4.2 |
3.49 |
3.11 |
2.47 |
1.56 |
1.02 |
0.4 |
| 9/22/2009 |
4.2 |
4.18 |
3.46 |
3.09 |
2.45 |
1.54 |
1.02 |
0.42 |
| 9/23/2009 |
4.21 |
4.18 |
3.44 |
3.05 |
2.4 |
1.49 |
0.96 |
0.41 |
| 9/24/2009 |
4.17 |
4.14 |
3.4 |
3.03 |
2.37 |
1.45 |
0.93 |
0.39 |
| 9/25/2009 |
4.1 |
4.07 |
3.34 |
2.98 |
2.36 |
1.49 |
0.98 |
0.41 |
| 9/28/2009 |
4.04 |
4.02 |
3.31 |
2.95 |
2.33 |
1.47 |
0.98 |
0.4 |
| 9/29/2009 |
4.03 |
4.02 |
3.31 |
2.94 |
2.34 |
1.48 |
1.00 |
0.41 |
| 9/30/2009 |
4.03 |
4.02 |
3.31 |
2.93 |
2.31 |
1.45 |
0.95 |
0.4 |
| 10/1/2009 |
3.97 |
3.95 |
3.21 |
2.82 |
2.2 |
1.36 |
0.87 |
0.37 |
| 10/2/2009 |
4.01 |
3.98 |
3.24 |
2.83 |
2.22 |
1.38 |
0.88 |
0.37 |
| 10/5/2009 |
4.01 |
3.98 |
3.24 |
2.82 |
2.21 |
1.38 |
0.88 |
0.36 |
| 10/6/2009 |
4.07 |
4.03 |
3.27 |
2.85 |
2.25 |
1.43 |
0.91 |
0.37 |
| 10/7/2009 |
3.99 |
3.96 |
3.21 |
2.77 |
2.16 |
1.35 |
0.87 |
0.34 |
| 10/8/2009 |
4.09 |
4.05 |
3.27 |
2.83 |
2.22 |
1.4 |
0.90 |
0.35 |
| 10/9/2009 |
4.22 |
4.2 |
3.4 |
2.98 |
2.36 |
1.5 |
0.98 |
0.38 |
| 10/13/2009 |
4.16 |
4.14 |
3.34 |
2.9 |
2.28 |
1.42 |
0.91 |
0.35 |
| 10/14/2009 |
4.28 |
4.26 |
3.45 |
3.01 |
2.36 |
1.47 |
0.96 |
0.35 |
| 10/15/2009 |
4.31 |
4.29 |
3.49 |
3.05 |
2.41 |
1.5 |
0.97 |
0.36 |
| 10/16/2009 |
4.24 |
4.22 |
3.43 |
2.99 |
2.37 |
1.49 |
0.97 |
0.36 |
| 10/19/2009 |
4.21 |
4.19 |
3.41 |
2.98 |
2.36 |
1.5 |
0.99 |
0.38 |
| 10/20/2009 |
4.16 |
4.14 |
3.35 |
2.93 |
2.3 |
1.44 |
0.95 |
0.39 |
| 10/21/2009 |
4.22 |
4.2 |
3.42 |
3.01 |
2.38 |
1.51 |
1.00 |
0.4 |
| 10/22/2009 |
4.24 |
4.22 |
3.44 |
3.03 |
2.39 |
1.5 |
0.97 |
0.38 |
| 10/23/2009 |
4.29 |
4.27 |
3.51 |
3.1 |
2.46 |
1.57 |
1.04 |
0.4 |
| 10/26/2009 |
4.37 |
4.35 |
3.59 |
3.17 |
2.53 |
1.61 |
1.06 |
0.41 |
| 10/27/2009 |
4.29 |
4.26 |
3.49 |
3.05 |
2.41 |
1.51 |
0.99 |
0.39 |
| 10/28/2009 |
4.25 |
4.22 |
3.44 |
3.01 |
2.37 |
1.47 |
0.95 |
0.39 |
| 10/29/2009 |
4.35 |
4.31 |
3.53 |
3.12 |
2.44 |
1.52 |
0.98 |
0.4 |
| 10/30/2009 |
4.23 |
4.19 |
3.41 |
2.98 |
2.31 |
1.43 |
0.90 |
0.37 |
| 11/2/2009 |
4.26 |
4.22 |
3.45 |
3 |
2.33 |
1.44 |
0.92 |
0.38 |
| 11/3/2009 |
4.34 |
4.29 |
3.5 |
3.05 |
2.36 |
1.46 |
0.92 |
0.38 |
| 11/4/2009 |
4.41 |
4.36 |
3.57 |
3.09 |
2.39 |
1.46 |
0.91 |
0.36 |
| 11/5/2009 |
4.41 |
4.36 |
3.57 |
3.06 |
2.35 |
1.44 |
0.90 |
0.36 |
| 11/6/2009 |
4.4 |
4.35 |
3.54 |
3.02 |
2.3 |
1.4 |
0.86 |
0.34 |
| 11/9/2009 |
4.4 |
4.34 |
3.52 |
3.01 |
2.31 |
1.4 |
0.87 |
0.34 |
| 11/10/2009 |
4.41 |
4.36 |
3.5 |
3.01 |
2.31 |
1.39 |
0.85 |
0.33 |
| 11/12/2009 |
4.41 |
4.33 |
3.45 |
2.98 |
2.28 |
1.36 |
0.82 |
0.32 |
| 11/13/2009 |
4.36 |
4.29 |
3.43 |
2.97 |
2.28 |
1.34 |
0.82 |
0.32 |
| 11/16/2009 |
4.26 |
4.18 |
3.33 |
2.87 |
2.19 |
1.28 |
0.78 |
0.31 |
| 11/17/2009 |
4.26 |
4.17 |
3.33 |
2.87 |
2.19 |
1.28 |
0.78 |
0.32 |
| 11/18/2009 |
4.29 |
4.21 |
3.36 |
2.9 |
2.21 |
1.27 |
0.77 |
0.29 |
| 11/19/2009 |
4.29 |
4.2 |
3.35 |
2.88 |
2.18 |
1.24 |
0.73 |
0.27 |
| 11/20/2009 |
4.3 |
4.2 |
3.36 |
2.9 |
2.2 |
1.25 |
0.75 |
0.27 |
| 11/23/2009 |
4.29 |
4.2 |
3.37 |
2.9 |
2.2 |
1.28 |
0.77 |
0.29 |
| 11/24/2009 |
4.25 |
4.16 |
3.32 |
2.82 |
2.15 |
1.22 |
0.73 |
0.28 |
| 11/25/2009 |
4.23 |
4.12 |
3.28 |
2.78 |
2.11 |
1.23 |
0.73 |
0.26 |
| 11/27/2009 |
4.21 |
4.07 |
3.21 |
2.71 |
2.03 |
1.15 |
0.68 |
0.26 |
| 11/30/2009 |
4.2 |
4.07 |
3.21 |
2.69 |
2.01 |
1.12 |
0.67 |
0.27 |
| 12/1/2009 |
4.26 |
4.14 |
3.28 |
2.74 |
2.03 |
1.14 |
0.67 |
0.26 |
| 12/2/2009 |
4.26 |
4.14 |
3.32 |
2.8 |
2.09 |
1.19 |
0.72 |
0.28 |
| 12/3/2009 |
4.33 |
4.23 |
3.39 |
2.87 |
2.14 |
1.23 |
0.74 |
0.3 |
| 12/4/2009 |
4.4 |
4.31 |
3.48 |
2.97 |
2.24 |
1.34 |
0.84 |
0.36 |
| 12/7/2009 |
4.4 |
4.29 |
3.44 |
2.92 |
2.19 |
1.26 |
0.78 |
0.32 |
| 12/8/2009 |
4.39 |
4.28 |
3.4 |
2.86 |
2.12 |
1.21 |
0.73 |
0.29 |
| 12/9/2009 |
4.41 |
4.31 |
3.45 |
2.89 |
2.15 |
1.23 |
0.76 |
0.31 |
| 12/10/2009 |
4.5 |
4.37 |
3.49 |
2.95 |
2.19 |
1.26 |
0.78 |
0.32 |
| 12/11/2009 |
4.49 |
4.39 |
3.55 |
3.02 |
2.26 |
1.3 |
0.83 |
0.35 |
| 12/14/2009 |
4.48 |
4.39 |
3.56 |
3.04 |
2.3 |
1.35 |
0.87 |
0.37 |
| 12/15/2009 |
4.52 |
4.42 |
3.6 |
3.08 |
2.35 |
1.38 |
0.88 |
0.41 |
| 12/16/2009 |
4.52 |
4.42 |
3.61 |
3.09 |
2.35 |
1.36 |
0.85 |
0.38 |
| 12/17/2009 |
4.42 |
4.31 |
3.5 |
2.97 |
2.24 |
1.27 |
0.77 |
0.35 |
| 12/18/2009 |
4.46 |
4.36 |
3.55 |
3.04 |
2.3 |
1.32 |
0.82 |
0.36 |
| 12/21/2009 |
4.56 |
4.47 |
3.69 |
3.18 |
2.43 |
1.42 |
0.89 |
0.4 |
| 12/22/2009 |
4.6 |
4.52 |
3.76 |
3.24 |
2.49 |
1.48 |
0.95 |
0.41 |
| 12/23/2009 |
4.61 |
4.54 |
3.77 |
3.26 |
2.51 |
1.51 |
0.96 |
0.41 |
| 12/24/2009 |
4.68 |
4.6 |
3.82 |
3.32 |
2.57 |
1.56 |
1.00 |
0.43 |
| 12/28/2009 |
4.69 |
4.61 |
3.85 |
3.34 |
2.62 |
1.63 |
1.09 |
0.47 |
| 12/29/2009 |
4.64 |
4.57 |
3.82 |
3.33 |
2.62 |
1.64 |
1.09 |
0.47 |
| 12/30/2009 |
4.61 |
4.54 |
3.8 |
3.34 |
2.61 |
1.65 |
1.08 |
0.45 |
| 12/31/2009 |
4.63 |
4.58 |
3.85 |
3.39 |
2.69 |
1.7 |
1.14 |
0.47 |
Figure 3. Stock Effect of the Treasury LSAP Program on the Nominal Yield Curve
| Remaining maturity |
Actual yield curve |
Counterfactual |
Counterfactual lower bound |
Counterfactual upper bound |
| 0 |
|
|
|
|
| 1 |
0.380182568 |
0.777711009 |
0.514005655 |
1.042494429 |
| 2 |
0.889550677 |
1.264401675 |
1.022699866 |
1.513374591 |
| 3 |
1.410842469 |
1.7991135 |
1.540005649 |
2.042370723 |
| 4 |
1.882276985 |
2.284582587 |
2.012188251 |
2.530273685 |
| 5 |
2.287548251 |
2.703183133 |
2.421408336 |
2.963026735 |
| 6 |
2.62847117 |
3.058663655 |
2.766618361 |
3.340470289 |
| 7 |
2.912934662 |
3.359036553 |
3.053797823 |
3.665946828 |
| 8 |
3.149895789 |
3.612044636 |
3.291149766 |
3.943747808 |
| 9 |
3.347521521 |
3.824269894 |
3.486884068 |
4.178299086 |
| 10 |
3.512674565 |
4.001181611 |
3.648313375 |
4.373864385 |
| 11 |
3.650927776 |
4.147355138 |
3.781587849 |
4.534434268 |
| 12 |
3.766752058 |
4.266670703 |
3.891719512 |
4.663690053 |
| 13 |
3.863732738 |
4.362462337 |
3.982720475 |
4.76500037 |
| 14 |
3.944762192 |
4.437624795 |
4.057770658 |
4.841432423 |
| 15 |
4.012195493 |
4.494690888 |
4.119377568 |
4.895769737 |
| 16 |
4.067970703 |
4.535888944 |
4.169514131 |
4.930532429 |
| 17 |
4.113699985 |
4.563186945 |
4.209731622 |
4.947997997 |
| 18 |
4.150738146 |
4.578327497 |
4.241249541 |
4.950221631 |
| 19 |
4.180234283 |
4.582856339 |
4.265025905 |
4.93905553 |
| 20 |
4.203170959 |
4.578146088 |
4.28181171 |
4.916167007 |
| 21 |
4.220394218 |
4.565416377 |
4.292192904 |
4.883055272 |
| 22 |
4.232636877 |
4.54575117 |
4.296622676 |
4.841066921 |
| 23 |
4.240536817 |
4.520113805 |
4.2954463 |
4.791410146 |
| 24 |
4.244651558 |
4.489360156 |
4.28892028 |
4.735167742 |
| 25 |
4.245470015 |
4.454250234 |
4.277227128 |
4.673308984 |
| 26 |
4.24342211 |
4.415458448 |
4.26048679 |
4.606700456 |
| 27 |
4.238886706 |
4.373582721 |
4.2387655 |
4.536115911 |
| 28 |
4.232198241 |
4.329152598 |
4.212082635 |
4.462245238 |
| 29 |
4.223652322 |
4.282636491 |
4.180416012 |
4.385702609 |
| 30 |
4.213510476 |
4.234448143 |
4.143705968 |
4.307033884 |