The Aggregate Demand for Treasury Debt


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The Aggregate Demand for Treasury Debt

Show simple item record Krishnamurthy, Arvind Vissing-Jørgensen, Annette 2014-02-21T13:41:45Z 2014-02-21T13:41:45Z 2014-02-21
dc.description.abstract 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. en_US
dc.format.extent 36 en_US
dc.language eng en_US
dc.publisher The University of Chicago Press en_US
dc.relation.ispartofseries Journal of Political Economy;Vol. 120, Iss. 2, pp. 233-267
dc.title The Aggregate Demand for Treasury Debt en_US
dc.type art en_US
dc.contributor.corporation Northwestern University and National Bureau of Economic Research en_US
dc.contributor.corporation Northwestern University, National Bureau of Economic Research, and Centre for Economic Policy Research en_US
dc.contributor.department Center for Financial Frictions en_US
dc.contributor.departmentshort FRIC en_US
dc.contributor.departmentuk Center for Financial Frictions en_US
dc.contributor.departmentukshort FRIC en_US Chicago en_US
dc.publisher.year 2012 en_US

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