Treasury Richness

• 成果类型: Article
• 署名作者: Fleckenstein, Matthias; Longstaff, Francis a.
• 署名单位: University of Delaware; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13371
• 发表日期: 2024
• 页码: 2797-2844
• 关键词: LIQUIDITY PREMIUM; RISK; GOVERNMENT; default; heteroskedasticity; spreads; demand; STRIPS; yields; rates

摘要

We provide estimates of Treasury convenience premia across the entire term structure of Treasury bills, notes, and bonds over more than a quarter of a century and document a variety of key stylized facts about their time-series and cross-sectional patterns. These results raise concerns about the evolving nature of Treasury markets and suggest that investors may now place less weight on the traditional role of Treasury securities as liquid trading vehicles. These stylized facts provide empirical benchmarks that could help guide future theoretical and empirical work about the economics of safe assets in financial markets.