Risk-free interest rates

被引：40

作者：

van Binsbergen, Jules H. ^{[1
]}

Diamond, William F. ^{[1
]}

Grotteria, Marco ^{[2
]}

机构：

[1] Univ Penn, Wharton Sch, 3620 Locust Walk, Philadelphia, PA 19104 USA

[2] London Business Sch, Regents Pk,Sussex Pl, London NW1 4SA, England

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2022年 / 143卷 / 01期

关键词：

Demand for safe assets; Convenience yield; Quantitative easing; Monetary policy; MONETARY-POLICY; MARKET EQUILIBRIUM; LIQUIDITY; INFORMATION; DEMAND;

D O I：

10.1016/j.jfineco.2021.06.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：1 / 29

页数：29