Treasury Richness
ABSTRACT 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 abou...
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| Veröffentlicht in: | The Journal of finance (New York) 2024-08, Vol.79 (4), p.2797-2844 |
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| container_end_page | 2844 |
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| container_issue | 4 |
| container_start_page | 2797 |
| container_title | The Journal of finance (New York) |
| container_volume | 79 |
| creator | FLECKENSTEIN, MATTHIAS LONGSTAFF, FRANCIS A. |
| description | ABSTRACT
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. |
| doi_str_mv | 10.1111/jofi.13371 |
| format | Article |
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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.</description><identifier>ISSN: 0022-1082</identifier><identifier>EISSN: 1540-6261</identifier><identifier>DOI: 10.1111/jofi.13371</identifier><language>eng</language><publisher>Cambridge: Blackwell Publishers Inc</publisher><subject>Markets ; Treasuries ; Treasury bills ; Treasury bonds ; Treasury notes</subject><ispartof>The Journal of finance (New York), 2024-08, Vol.79 (4), p.2797-2844</ispartof><rights>2024 the American Finance Association.</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><cites>FETCH-LOGICAL-c2801-315a55af738f5e714447928abb4ee247e0eb55702e3a331f73e593e070da92d73</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.1111%2Fjofi.13371$$EPDF$$P50$$Gwiley$$H</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.1111%2Fjofi.13371$$EHTML$$P50$$Gwiley$$H</linktohtml><link.rule.ids>314,776,780,1411,27901,27902,45550,45551</link.rule.ids></links><search><creatorcontrib>FLECKENSTEIN, MATTHIAS</creatorcontrib><creatorcontrib>LONGSTAFF, FRANCIS A.</creatorcontrib><title>Treasury Richness</title><title>The Journal of finance (New York)</title><description>ABSTRACT
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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.</abstract><cop>Cambridge</cop><pub>Blackwell Publishers Inc</pub><doi>10.1111/jofi.13371</doi><tpages>48</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 2024-08, Vol.79 (4), p.2797-2844 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_journals_3081437336 |
| source | Wiley Online Library Journals Frontfile Complete |
| subjects | Markets Treasuries Treasury bills Treasury bonds Treasury notes |
| title | Treasury Richness |
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