| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13899 |
| DP13899 Risk-Free Interest Rates | |
| Jules van Binsbergen; William Diamond; Marco Grotteria | |
| 发表日期 | 2019-07-29 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We obtain a term structure of convenience yields with maturities up to 2.5 years at a minutely frequency. The convenience yield on treasuries equals about 40 basis points, is larger below 3 months maturity, and quadruples during the financial crisis. In high-frequency event studies, conventional and unconventional monetary stimulus reduce convenience yields, particularly during the crisis. We further study convenience-yield-free CIP deviations, and we show significant bond return predictability related to convenience yields. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Demand for safe assets Convenience yield Quantitative easing monetary policy |
| URL | https://cepr.org/publications/dp13899 |
| 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/542777 |
| 推荐引用方式 GB/T 7714 | Jules van Binsbergen,William Diamond,Marco Grotteria. DP13899 Risk-Free Interest Rates. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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