| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30222 |
| 来源ID | Working Paper 30222 |
| Intermediary Balance Sheets and the Treasury Yield Curve | |
| Wenxin Du; Benjamin M. Hébert; Wenhao Li | |
| 发表日期 | 2022-07-11 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We document regime change in the U.S. Treasury market post-Global Financial Crisis (GFC): dealers switched from a net short to a net long position in the Treasury market. We first derive bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net long curves. We show that actual Treasury yields moved from the net short curve pre-GFC to the net long curve post-GFC, consistent with the shift in the dealers' net position. We then use a stylized model to demonstrate that increased bond supply and tightening leverage constraints can explain this change in regime. This regime change in turn helps explain negative swap spreads and the co-movement between swap spreads, dealer positions, yield curve slope, and covered-interest-parity violations, and implies changing effects for a wide range of monetary policy and regulatory policy interventions. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w30222 |
| 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/587894 |
| 推荐引用方式 GB/T 7714 | Wenxin Du,Benjamin M. Hébert,Wenhao Li. Intermediary Balance Sheets and the Treasury Yield Curve. 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 | ||
| w30222.pdf（849KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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