Benchmark interest rates when the government is risky

• 成果类型: Article
• 署名作者: Augustin, P.; Chernov, M.; Schmid, L.; Song, D.
• 署名单位: McGill University; University of California System; University of California Los Angeles; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Southern California; Center for Economic & Policy Research (CEPR); Johns Hopkins University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.10.009
• 发表日期: 2021
• 页码: 74-100
• 关键词: Sovereign credit risk; Negative swap rates; recursive preferences; term structure

摘要

Since the global financial crisis, interest rate swap rates, which represent future uncollateralized interbank borrowing, have fallen below maturity-matched Treasury rates. This is surprising, because US Treasuries, which are deemed expensive because of superior liquidity and safety, should produce yields that are lower than those of swap rates. We show, by no-arbitrage, that sovereign default risk explains negative swap spreads even without frictions such as balance sheet constraints, convenience yield, and hedging demand. We support this explanation with an equilibrium model that jointly accounts for macroeconomic fundamentals and the term structures of interest and US credit default swap rates. (C) 2020 Elsevier B.V. All rights reserved.