Intermediary balance sheets and the treasury yield curve

• 成果类型: Article
• 署名作者: Du, Wenxin; Hebert, Benjamin; Li, Wenhao
• 署名单位: National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Stanford University; National Bureau of Economic Research; University of Southern California
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103722
• 发表日期: 2023
• 关键词: Treasury bonds; covered interest parity; arbitrage; Intermediary asset pricing

摘要

We document a regime change in the Treasury market post-Global Financial Crisis (GFC): dealers switched from net short to net long Treasury bonds. We construct net-long and net-short curves that account for balance sheet and financing costs, and show that actual yields moved from the net short curve pre-GFC to the net long curve post-GFC. Our theory shows the regime shift caused negative swap spreads and co-movement among swap spreads, dealer positions, and covered-interest-parity violations. Furthermore, the effects of various monetary and regulatory policies are regime-dependent. We highlight Treasury supply as a plausible driver of this regime shift.