| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12395 |
| DP12395 The Private Production of Safe Assets | |
| Marcin Kacperczyk; Christophe Perignon; Guillaume Vuillemey | |
| 发表日期 | 2017-06-11 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | How fragile is the production of safe assets by the private sector? We answer this question using high-frequency data on certificates of deposit (CDs) issued in Europe. We show that only short-term CDs benefit from a safety premium. Using two identification strategies, we further show that the issuance of short-term CDs strongly responds to measures of safety demand. During periods of stress, this relation vanishes. However, high-quality issuers are still able to issue safe assets in periods of stress as investors distinguish between high- and low-quality issuers. Therefore, concerns about externalities arising from private safety production may be partially overstated. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Safe assets Safety premium Information sensitivity |
| URL | https://cepr.org/publications/dp12395-0 |
| 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/540899 |
| 推荐引用方式 GB/T 7714 | Marcin Kacperczyk,Christophe Perignon,Guillaume Vuillemey. DP12395 The Private Production of Safe Assets. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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