Risk-Free Interest Rates / Jules H. van Binsbergen, William F. Diamond, Marco Grotteria.

Format:

Book

Author/Creator:

van Binsbergen, Jules H.

Contributor:

National Bureau of Economic Research.

Diamond, William F.

Grotteria, Marco.

Series:

Working Paper Series (National Bureau of Economic Research) no. w26138.

NBER working paper series no. w26138

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2019.

Summary:

We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We obtain a term structure of convenience yields with maturities up to 2.5 years at a minutely frequency. The convenience yield on treasuries equals about 40 basis points, is larger below 3 months maturity, and quadruples during the financial crisis. In high-frequency event studies, conventional and unconventional monetary stimulus reduce convenience yields, particularly during the crisis. We further study convenience-yield-free CIP deviations, and we show significant bond return predictability related to convenience yields.

Notes:

Print version record

August 2019.