Data for the second chapter of my PhD, Behavioral Learning Equilibria in a Bond Market with Asset Purchases

Here, I provide the details on the estimation data used in my second PhD chapter. To perform the Bayesian estimation of the different models, I use quarterly US data from 2000Q1 to 2022Q4, collected from the FRED database and the Philadelphia FED for SPF data. Data and transformations are as follows:

i) Spread between the yield on the 10-Year and the Federal Funds rate:
• 10-Year yield Treasury minus Federal Funds Rate, which is demeaned.

ii) Share of government bonds held by the central bank:

• Federal debt held by federal reserve banks, as a share among all debt holders, de- meaned.

iii) Gross nominal interest rate:
• Federal funds rate, demeaned.

iv) Expectations about the 10-Year yield:
• Expectations about the 10-Year Treasury Bond, demeaned.