| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27065 |
| 来源ID | Working Paper 27065 |
| Should the U.S. Government Issue Floating Rate Notes? | |
| Jonathan S. Hartley; Urban Jermann | |
| 发表日期 | 2020-04-27 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Since January 2014 the U.S. Treasury has been issuing floating rate notes (FRNs). We estimate that the U.S. FRNs have been paying excess interest between 5 and 39 basis points above the implied cost for other Treasury securities. We find a strong positive relation between our estimated excess spreads on FRNs and the subsequent realized excess returns of FRNs over related T-bill investment strategies. With more than 300 billion dollars of FRNs outstanding, the yearly excess borrowing costs are estimated to be several hundreds of millions of dollars. To rationalize this finding, we examine the role of FRNs from the perspective of optimal government debt management to smooth taxes. In the model, bills can be cheaper to issue than FRNs, and the payoffs for FRNs are perfectly correlated with future short rates. FRNs can be used to manage the refinancing risk from rolling over short-term debt. We derive conditions under which the issuance of FRNs can optimally be positive. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Public Economics ; National Fiscal Issues |
| URL | https://www.nber.org/papers/w27065 |
| 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/584737 |
| 推荐引用方式 GB/T 7714 | Jonathan S. Hartley,Urban Jermann. Should the U.S. Government Issue Floating Rate Notes?. 2020. |
| 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 | ||
| w27065.pdf（440KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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