We document that the convenience yield of U.S. Treasuries exhibits properties that are consistent with a hedging … perspective of safe assets. The convenience yield tends to be low when the covariance of Treasury returns with the aggregate stock … yield, the frictionless risk-free rate, and default risk reveals that the covariance between stock returns and the …

already accrued benefits were cut. Alternative methods of calculating these accrued benefits yield somewhat different numbers …

This paper provides a brief survey of the relationship between the yield curve and future changes in interest rates and … inflation. The expectations hypothesis of the term structure indicates .that when the yield curve is upward sloping, future … hypothesis, yield spreads are positively correlated with future changes in short-term interest rates, particularly at long …

2.5 years at a minutely frequency. The convenience yield on treasuries equals about 40 basis points, is larger below 3 … monetary stimulus reduce convenience yields, particularly during the crisis. We further study convenience-yield-free CIP …