Is the Impact of Foreign Official Purchases on Treasury Yields Different at the Zero Lower Bound?

I investigate whether the impact of foreign official purchases on US short- and long-term treasury yields is different when interest rates are near the zero lower bound by employing the Local Projection model. Using time series data on net foreign official purchases of US treasuries, I estimate that for the research period 1999 to 2018, the impact is less pronounced at zero lower bound where interest rates are constrained at already low levels. The results are robust to the widely used Vector Autoregression model and at varying lag structures.