(2013), “Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply”, Journal of Financial Economics,108(2), pp. 425-448. 6 To this end, for instance, an estimated term structure model is used following Li, C. and Wei, M. (2013), “Term  Structure Modeling with Supply Factors and the Federal Reserve’s Large-Scale Asset Purchase Programs”, International Journal of Central Banking, 9(1), pp.
3-39. In this framework, yields are driven by three factors: the level and slope of the yield curve (‘yield factors’) as well as a factor related to the central bank’s bond holdings (‘quantity factor’). In quantifying the impact on bond yields, the model thus takes into account the effect of the central bank’s current and future expected bond holdings, including the impact of reinvestment.