The Private Production of Safe Assets

Christophe Perignon (), Guillaume Vuillemey () and Marcin Kacperczyk

No 1212, HEC Research Papers Series from HEC Paris

Abstract: Do claims on the private sector serve the role of safe assets? We answer this question using high-frequency panel data on prices and quantities of certificates of deposit (CD) and commercial paper (CP) issued in Europe. We show that only very short-term private securities benefit from a premium for safety. Using several identification strategies, we show that the issuance of short-term CDs, but not of CPs, strongly responds to measures of safety demand. The private production of safe assets is stronger for issuers with high credit worthiness, and breaks down during episodes of market stress. We conclude that even very short-term private assets are sensitive to changes in the information environment and should not be treated as equally safe at all times.

Keywords: Safe assets; Collateral; Short-term debt; Treasuries (search for similar items in EconPapers)
JEL-codes: E44 G21 (search for similar items in EconPapers)
Pages: 59 pages
Date: 2017-06-01, Revised 2017-10-26
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: The Private Production of Safe Assets (2021)
Working Paper: The Private Production of Safe Assets (2017)
Working Paper: The Private Production of Safe Assets (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ebg:heccah:1212

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