| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23759 |
| 来源ID | Working Paper 23759 |
| The U.S. Treasury Premium | |
| Wenxin Du; Joanne Im; Jesse Schreger | |
| 发表日期 | 2017-09-04 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We quantify the difference in the convenience yield of U.S. Treasuries and the bonds of near default-free sovereigns by measuring the gap between the FX swap-implied dollar yield paid by foreign governments and the U.S. Treasury dollar yield. We call this wedge the “U.S. Treasury Premium.” We find that this premium was approximately 21 basis points for five-year bonds prior to the Global Financial Crisis, increased up to 90 basis points during the crisis, and has disappeared since the crisis with the post-crisis mean at -8 basis points. We show the decline in the premium cannot be explained away by credit risk or FX swap market mispricings. In addition, we present evidence that the relative supply of government bonds in the United States and foreign countries affects the premium. |
| 主题 | Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w23759 |
| 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/581433 |
| 推荐引用方式 GB/T 7714 | Wenxin Du,Joanne Im,Jesse Schreger. The U.S. Treasury Premium. 2017. |
| 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 | ||
| w23759.pdf（2922KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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