The Aggregate Demand for Treasury Debt

Arvind Krishnamurthy and Annette Vissing-Jorgensen

Journal of Political Economy, 2012, vol. 120, issue 2, 233 - 267

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.

Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (698)

Downloads: (external link)
http://dx.doi.org/10.1086/666526 (application/pdf)
http://dx.doi.org/10.1086/666526 (text/html)
Access to the online full text or PDF requires a subscription.

Related works:
Working Paper: The Aggregate Demand for Treasury Debt (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://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
Bibliographic data for series maintained by Journals Division ().