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The Scarcity Value of Treasury Collateral : Repo Market Effects of Security-Specific Supply and Demand Factors
D'Amico, Stefania - 2015
In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S....
Persistent link: https://www.econbiz.de/10013032735
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How Would Us Banks Fare in a Negative Interest Rate Environment?
Arseneau, David M. - 2017
likely wash out as liquidity provision is sufficiently well diversified across the banking sector as a whole … banking sector. This paper offers unique new insights for U.S. banks by using supervisory data to examine bank …
Persistent link: https://www.econbiz.de/10014352395
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Treasury Safety, Liquidity, and Money Premium Dynamics : Evidence from Recent Debt Limit Impasses
Cashin, David B. - 2020
Treasury securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …. Meanwhile, changes in liquidity only affected the money premium during the impasses. Next, we show that Treasury safety and …
Persistent link: https://www.econbiz.de/10012834175
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Funding Liquidity Risk and the Cross-Section of MBS Returns
Kitsul, Yuriy - 2016
This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage …-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect … liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns| agency MBS that are better …
Persistent link: https://www.econbiz.de/10013210417
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Equilibrium yield curves and the interest rate lower bound
Nakata, Taisuke; Tanaka, Hiroatsu - 2016 - This draft: October 2016
We study the term structure of default-free interest rates in a sticky-price model with an occasionally binding effective lower bound (ELB) constraint on interest rates and recursive preferences. The ELB constraint induces state-dependency in the dynamics of term premiums by affecting...
Persistent link: https://www.econbiz.de/10011578779
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Bond risk premiums at the zero lower bound
Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019
This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but...
Persistent link: https://www.econbiz.de/10012181201
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Macro risks and the term structure of interest rates
Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - 2017
We use non-Gaussian features in U.S. macroeconomic data to identify aggregate supply and demand shocks while imposing minimal economic assumptions. Recessions in the 1970s and 1980s were driven primarily by supply shocks, later recessions were driven primarily by demand shocks, and the Great...
Persistent link: https://www.econbiz.de/10011709342
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Tips from Tips : The Informational Content of Treasury Inflation-Protected Security Prices
D'Amico, Stefania; Kim, Don H.; Wei, Min - 2021
poorer liquidity of TIPS relative to nominal Treasury securities. Other factors, including the indexation lag and the …
Persistent link: https://www.econbiz.de/10014351828
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Tips from TIPS : The Informational Content of Treasury Inflation-Protected Security Prices
D'Amico, Stefania - 2016
poorer liquidity of TIPS relative to nominal Treasury securities. Other factors, including the indexation lag and the …
Persistent link: https://www.econbiz.de/10013006559
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Unspanned Macroeconomic Factors in the Yield Curve
Coroneo, Laura - 2014
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...
Persistent link: https://www.econbiz.de/10013049181