This paper constructs risk-free interest rates implicit in index option prices for ten of the major G11 currencies. We compare these rates to the yields of government bonds to provide international estimates of the convenience yield earned by safe assets. Average convenience yields across...

This paper models how the financial system is organized to efficiently create safe assets and its response to changes in safe asset supply and demand. Bank-like financial intermediaries choose the least risky portfolio that backs their issuance of riskless deposits- a diversified pool of...