The Aggregate Demand for Treasury Debt

• 成果类型: Article
• 署名作者: Krishnamurthy, Arvind; Vissing-Jorgensen, Annette
• 署名单位: Northwestern University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/666526
• 发表日期: 2012
• 页码: 233-267
• 关键词: CORPORATE YIELD SPREADS; Liquidity premium; default risk; bonds

摘要

Investors value the liquidity and safety of US Treasuries. We document this by showing that changes in Treasury supply have large effects on a variety of yield spreads. As a result, Treasury yields are reduced by 73 basis points, on average, from 1926 to 2008. Both the liquidity and safety attributes of Treasuries are driving this phenomenon. We document this by analyzing the spread between assets with different liquidity (but similar safety) and those with different safety (but similar liquidity). The low yield on Treasuries due to their extreme safety and liquidity suggests that Treasuries in important respects are similar to money.