The Aggregate Demand for Treasury Debt

OPEN ARCHIVE

Union Jack
Dannebrog

The Aggregate Demand for Treasury Debt

Show simple item record

dc.contributor.author Krishnamurthy, Arvind
dc.contributor.author Vissing-Jørgensen, Annette
dc.date.accessioned 2014-02-21T13:41:45Z
dc.date.available 2014-02-21T13:41:45Z
dc.date.issued 2014-02-21
dc.identifier.uri http://hdl.handle.net/10398/8882
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
dc.publisher.city Chicago en_US
dc.publisher.year 2012 en_US


Creative Commons License This work is licensed under a Creative Commons License.

Files Size Format View
aggregate_demand_annette_vissing (2).pdf 1.719Mb PDF View/Open Article

This item appears in the following Collection(s)

Show simple item record