Bond Convenience Yields in the Eurozone Currency Union

• 成果类型: Article; Early Access
• 署名作者: Jiang, Zhengyang; Lustig, Hanno; Van Nieuwerburgh, Stijn; Xiaolan, Mindy Z.
• 署名单位: Northwestern University; National Bureau of Economic Research; Stanford University; Columbia University; Center for Economic & Policy Research (CEPR); University of Texas System; University of Texas Austin
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag018
• 发表日期: 2026-05-04
• 关键词: E42; F33; G15; empirical-evidence; liquidity; debt; CDS; deviations; MODEL; RISK

摘要

In a monetary union, the risk-free rate cannot adjust to country-level fiscal positions, leaving only default spreads and convenience yields to respond. Empirically, we find that convenience yields explain a large share of the variation in eurozone (EZ) sovereign bond yields. EZ sovereign bonds earn larger convenience yields when their governments run larger surpluses. Since convenience yields generate substantial seigniorage revenue from debt issuance, our estimates imply economically large fiscal costs from low convenience yields for peripheral countries in the EZ.