The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys

Zhengyang Jiang, Arvind Krishnamurthy and Hanno Lustig

No 30089, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual “dollar-weighted” returns, measured by the internal rate of return on their purchases and sales of Treasury bonds, are over 3.26 percentage points (pp) lower than a buy-and-hold strategy over the same horizon. Their returns are 1.62 pp lower than the returns earned by domestic investors. We also explore the heterogeneity across foreign investors, and find that official investors and developing country investors underperform more than other foreign investors. Our results are consistent with theories in which foreign investors are price-inelastic buyers of safe dollar assets, and increase their demand for dollar assets in stress periods.

JEL-codes: F32 G12 (search for similar items in EconPapers)
Date: 2022-05
New Economics Papers: this item is included in nep-dem, nep-fmk and nep-ifn
Note: AP IFM
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.nber.org/papers/w30089.pdf (application/pdf)

Related works:
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:nbr:nberwo:30089

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w30089

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().