دانلود مقاله ISI انگلیسی شماره 109320
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عنوان انگلیسی
The U.S. Treasury Premium
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
109320 2018 49 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of International Economics, Volume 112, May 2018, Pages 167-181

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پیش نمایش مقاله  وزارت خزانه داری ایالات متحده حق بیمه

چکیده انگلیسی

We quantify the difference in the convenience yield of U.S. Treasuries and government bonds of other developed countries by measuring the deviation from covered interest parity between government bond yields. We call this wedge the “U.S. Treasury Premium.” We document a secular decline in the U.S. Treasury Premium at medium to long maturities. The five-year U.S. Treasury Premium averages approximately 21 basis points prior to the Global Financial Crisis, increases up to 90 basis points during the crisis, and disappears after the crisis with the post-crisis mean at −8 basis points. Meanwhile, the short-term U.S. Treasury Premium remains positive post-crisis. We discuss the impact of sovereign credit risk, foreign exchange swap market frictions, and the relative supply of government bonds on the U.S. Treasury Premium