| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26138 |
| 来源ID | Working Paper 26138 |
| Risk-Free Interest Rates | |
| Jules H. van Binsbergen; William F. Diamond; Marco Grotteria | |
| 发表日期 | 2019-08-12 |
| 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 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w26138 |
| 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/583812 |
| 推荐引用方式 GB/T 7714 | Jules H. van Binsbergen,William F. Diamond,Marco Grotteria. Risk-Free Interest Rates. 2019. |
| 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 | ||
| w26138.pdf（1361KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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