Risk-Free Rates and Convenience Yields around the World

• 成果类型: Article
• 署名作者: Diamond, William; Van Tassel, Peter
• 署名单位: University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70045
• 发表日期: 2026-08
• 页码: 2063-2108
• 关键词: liquidity; deviations; premium

摘要

We infer risk-free rates from index option prices to estimate safe asset convenience yields in 10 G11 currencies. Countries' convenience yields increase with the level of their interest rates, with U.S. convenience yields fifth largest. During financial crises, convenience yields grow, but the difference between United States and foreign convenience yields generally does not. Covered interest parity (CIP) deviations using our option-implied rates are a similar size between the United States and each other country. A model in which convenience yields depend on domestic financial intermediaries, but CIP deviations reflect the funding costs of international arbitrageurs financed with dollar-denominated debt, explains these results.