| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14105 |
| DP14105 Benchmark interest rates when the government is risky | |
| Patrick Augustin; Mikhail Chernov; Lukas Schmid; Dongho Song | |
| 发表日期 | 2019-11-06 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Since the Global Financial Crisis, rates on interest rate swaps have fallen below maturity matched U.S. Treasury rates across different maturities. Swap rates represent future un- collateralized borrowing between banks. Treasuries should be expensive and produce yields that are lower than those of maturity matched swap rates, as they are deemed to have supe- rior liquidity and to be safe, so this is a surprising development. We show, by no-arbitrage, that the U.S. sovereign default risk explains the negative swap spreads over Treasuries. This view is supported by a quantitative equilibrium model that jointly accounts for macroeco- nomic fundamentals and the term structures of interest and U.S. credit default swap rates. We account for interbank credit risk, liquidity effects, and cost of collateralization in the model. Thus, the sovereign risk explanation complements others based on frictions such as balance sheet constraints, convenience yield, and hedging demand. |
| 主题 | Financial Economics |
| 关键词 | Sovereign credit risk Negative swap rates Recursive preferences Term structure |
| URL | https://cepr.org/publications/dp14105 |
| 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/542992 |
| 推荐引用方式 GB/T 7714 | Patrick Augustin,Mikhail Chernov,Lukas Schmid,et al. DP14105 Benchmark interest rates when the government is risky. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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