The US Treasury Premium

• 成果类型: Article; Proceedings Paper
• 署名作者: Du, Wenxin; Im, Joanne; Schreger, Jesse
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Columbia University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2018.01.001
• 发表日期: 2018
• 页码: 167-181
• 关键词: US Treasuries; Sovereign bonds; Convenience yields

摘要

We quantify the difference in the convenience yield of U.S. Treasuries and government bonds of other developed countries by measuring the deviation from covered interest parity between government bond yields. We call this wedge the U.S. Treasury Premium. We document a secular decline in the U.S. Treasury Premium at medium to long maturities. The five-year U.S. Treasury Premium averages approximately 21 basis points prior to the Global Financial Crisis, increases up to 90 basis points during the crisis, and disappears after the crisis with the post-crisis mean at 8 basis points. Meanwhile, the short-term U.S. Treasury Premium remains positive post-crisis. We discuss the impact of sovereign credit risk, foreign exchange swap market frictions, and the relative supply of government bonds on the U.S. Treasury Premium (C) 2018 Published by Elsevier B.V.