| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30089 |
| 来源ID | Working Paper 30089 |
| The Rest of the World\u2019s Dollar-Weighted Return on U.S. Treasurys | |
| Zhengyang Jiang; Arvind Krishnamurthy; Hanno Lustig | |
| 发表日期 | 2022-05-30 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over the same horizon. In comparison, the IRRs achieved by domestic investors are at least 1% higher, while the IRRs achieved by the Federal Reserve are similarly low. Our results are consistent with theories where foreign investors are price-inelastic buyers of safe dollar assets, which provide them with convenience services. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w30089 |
| 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/587763 |
| 推荐引用方式 GB/T 7714 | Zhengyang Jiang,Arvind Krishnamurthy,Hanno Lustig. The Rest of the World\u2019s Dollar-Weighted Return on U.S. Treasurys. 2022. |
| 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 | ||
| w30089.pdf（290KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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