9  Economic theory suggests that the public’s expectations concerning the time path of the Federal Reserve’s asset holdings – which includes both the ultimate size of those holdings and the length of time that these assets will be retained on the Fed’s balance sheet – influence longer-term yields and the term premiums embedded in those yields today.
For empirical estimates of these effects see, for example, Canlin Li and Min Wei (2012), “Term Structure Modeling with Supply Factors and the Federal Reserve’s Large Scale Asset Purchase Programs,” Finance and Economics Discussion Series 2012-37 (Washington: Board of Governors of the Federal Reserve System, May).