Diminishing treasury convenience premiums: Effects of dealers' excess demand and balance sheet constraints

• 成果类型: Article
• 署名作者: Klingler, Sven; Sundaresan, Suresh
• 署名单位: BI Norwegian Business School; Columbia University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.01.002
• 发表日期: 2023
• 页码: 55-69
• 关键词: Convenience premium; Primary dealers; Risk -free rates; treasury auctions; OIS

摘要

After the global financial crisis, the yields of U.S. Treasury bills frequently exceed other risk-free rate benchmarks, thereby pointing to a diminishing convenience premium. Con-structing a new measure of dealers' balance sheet constraints for providing intermediation in U.S. Treasury markets, we trace these diminishing convenience premiums to primary dealers' ability to act as intermediaries. Even after accounting for Treasury supply, levels of interest rates, and other controls, falling excess demand of primary dealers in Treasury auctions, their increased Treasury holdings, and balance sheet constraints post-2015, re-main key variables in explaining the diminishing convenience premiums.(c) 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )