Risk-free interest rates

We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We ob-tain interest rates and implied convenience yields with maturities up to three years at a minutely frequency. Our estimated convenience yield on Treasuries equals about 40 basis points, is larger below three months maturity, and quadruples during the financial crisis. In high-frequency event studies, conventional and unconventional monetary stimulus re-duces our rates more than the corresponding Treasury yields, thus broadly affecting rates even outside the narrow confines of the fixed-income market. (c) 2021 Published by Elsevier B.V.