The Aggregate Demand for Treasury Debt

被引：495

作者：

Krishnamurthy, Arvind ^{[1
,2
]}

Vissing-Jorgensen, Annette ^{[1
,2
,3
]}

机构：

[1] Northwestern Univ, Evanston, IL 60208 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] Ctr Econ Policy Res, Washington, DC USA

来源：

JOURNAL OF POLITICAL ECONOMY | 2012年 / 120卷 / 02期

关键词：

CORPORATE YIELD SPREADS; LIQUIDITY PREMIUM; DEFAULT RISK; BONDS;

D O I：

10.1086/666526

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Investors value the liquidity and safety of US Treasuries. We document this by showing that changes in Treasury supply have large effects on a variety of yield spreads. As a result, Treasury yields are reduced by 73 basis points, on average, from 1926 to 2008. Both the liquidity and safety attributes of Treasuries are driving this phenomenon. We document this by analyzing the spread between assets with different liquidity (but similar safety) and those with different safety (but similar liquidity). The low yield on Treasuries due to their extreme safety and liquidity suggests that Treasuries in important respects are similar to money.

引用

页码：233 / 267

页数：35

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