Risk-free interest rates

• 成果类型: Article
• 署名作者: van Binsbergen, Jules H.; Diamond, William F.; Grotteria, Marco
• 署名单位: University of Pennsylvania; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.06.012
• 发表日期: 2022
• 页码: 1-29
• 关键词: Demand for safe assets; Convenience yield; quantitative easing; monetary policy

摘要

We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We ob-tain interest rates and implied convenience yields with maturities up to three years at a minutely frequency. Our estimated convenience yield on Treasuries equals about 40 basis points, is larger below three months maturity, and quadruples during the financial crisis. In high-frequency event studies, conventional and unconventional monetary stimulus re-duces our rates more than the corresponding Treasury yields, thus broadly affecting rates even outside the narrow confines of the fixed-income market. (c) 2021 Published by Elsevier B.V.