The Aggregate Demand for Treasury Debt
Arvind Krishnamurthy and
Journal of Political Economy, 2012, vol. 120, issue 2, pages 233 - 267
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.
References: Add references at CitEc
Citations View citations in EconPapers (108) Track citations by RSS feed
Downloads: (external link)
Access to the online full text or PDF requires a subscription.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ucp:jpolec:doi:10.1086/666526
Access Statistics for this article
More articles in Journal of Political Economy from University of Chicago Press
Series data maintained by Journals Division ().