| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12086 |
| DP12086 The Private Production of Safe Assets | |
| Guillaume Vuillemey; Marcin Kacperczyk; Christophe Perignon | |
| 发表日期 | 2017-06-11 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Do claims on the private sector serve the role of safe assets? We answer this question using high-frequency panel data on prices and quantities of certificates of deposit (CD) and commercial paper (CP) issued in Europe. We show that only very short-term private securities benefit from a premium for safety. We then use several sources of variation to show that the issuance of short-term CDs strongly responds to measures of safety demand. The private production of safe assets is stronger for issuers with high credit worthiness, and breaks down during episodes of market stress. We conclude that even very short-term private assets are sensitive to changes in the information environment and should not be treated as equally safe at all times. |
| 主题 | Financial Economics |
| 关键词 | Safe assets Collateral Short-term debt Treasuries |
| URL | https://cepr.org/publications/dp12086 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540897 |
| 推荐引用方式 GB/T 7714 | Guillaume Vuillemey,Marcin Kacperczyk,Christophe Perignon. DP12086 The Private Production of Safe Assets. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
