全球智库信息集成服务系统(G2TT): The Demand for Treasury Debt

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w12881
来源ID	Working Paper 12881
	The Demand for Treasury Debt
	Arvind Krishnamurthy; Annette Vissing-Jorgensen
发表日期	2007-01-30
出版年	2007
语种	英语
摘要	We show that the US Debt/GDP ratio is negatively correlated with the spread between corporate bond yields and Treasury bond yields. The result holds even when controlling for the default risk on corporate bonds. We argue that the corporate bond spread reflects a convenience yield that investors attribute to Treasury debt. Changes in the supply of Treasury debt trace out the demand for convenience by investors. We show that the aggregate demand curve for the convenience provided by Treasury debt is downward sloping and provide estimates of the elasticity of demand. We analyze disaggregated data from the Flow of Funds Accounts of the Federal Reserve and show that individual groups of Treasury holders also have downward sloping demand curves. Even groups with the most elastic demand curves have demand curves that are far from flat. The results have bearing for important questions in finance and macroeconomics. We discuss implications for the behavior of corporate bond spreads, interest rate swap spreads, the riskless interest rate, and the value of aggregate liquidity. We also discuss the implications of our results for the financing of the US deficit, Ricardian equivalence, and the effects of foreign central bank demand on Treasury yields.
主题	Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w12881
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/570547
推荐引用方式 GB/T 7714	Arvind Krishnamurthy,Annette Vissing-Jorgensen. The Demand for Treasury Debt. 2007.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w12881.pdf（444KB）	智库出版物		限制开放	CC BY-NC-SA	浏览