TY  - JOUR
AU  - Du, Wenxin
AU  - Im, Joanne
AU  - Schreger, Jesse
TI  - The U.S. Treasury Premium
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 23759
PY  - 2017
Y2  - August 2017
DO  - 10.3386/w23759
UR  - http://www.nber.org/papers/w23759
L1  - http://www.nber.org/papers/w23759.pdf
N1  - Author contact info:
Wenxin Du
Booth School of Business
University of Chicago
5807 S. Woodlawn Avenue
Chicago, IL 60637
Tel: 773/834-5354
E-Mail: Wenxin.Du@chicagobooth.edu

Joanne I. Im
Federal Reserve Board
E-Mail: joanne.im@frb.gov

Jesse Schreger
Columbia Business School
3022 Broadway
Uris Hall 821
New York, NY 10027
Tel: 212-851-0171
Fax: 212-662-8474
E-Mail: jesse.schreger@columbia.edu
M1  - published as Wenxin Du, Joanne Im, Jesse Schreger. "The U.S. Treasury Premium," in Jeffrey Frankel, Hélène Rey, and Charles Engel, organizers, "NBER International Seminar on Macroeconomics 2017" Journal of International Economics (Elsevier), volume 112 (2018)

M2  - featured in NBER digest on 2017-09-21
M3  - presented at "International Seminar on Macroeconomics", June 30 - July 1, 2017
AB  - We quantify the difference in the convenience yield of U.S. Treasuries and the bonds of near default-free sovereigns by measuring the gap between the FX swap-implied dollar yield paid by foreign governments and the U.S. Treasury dollar yield. We call this wedge the “U.S. Treasury Premium.” We find that this premium was approximately 21 basis points for five-year bonds prior to the Global Financial Crisis, increased up to 90 basis points during the crisis, and has disappeared since the crisis with the post-crisis mean at -8 basis points. We show the decline in the premium cannot be explained away by credit risk or FX swap market mispricings. In addition, we present evidence that the relative supply of government bonds in the United States and foreign countries affects the premium.
ER  -