Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Debt Limit Impasses
نویسندگان
چکیده
Abstract Treasury securities enjoy a “money premium” because they are ultra‐safe and liquid. However, during debt limit impasses, the safety liquidity of temporarily deteriorate, eroding money premium. Using past we find premium eroded by roughly six basis points across all up to 50 for shortest maturities at greatest risk delayed principal payment. Safety each accounted about half erosion. The deterioration also appears interact, consistent with theories default‐driven information sensitivity debt.
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ژورنال
عنوان ژورنال: Journal of Money, Credit and Banking
سال: 2022
ISSN: ['1538-4616', '0022-2879']
DOI: https://doi.org/10.1111/jmcb.12999