The U.S. Treasury Premium
通过测量政府债券收益率与抛补利率平价的偏离，量化美国国债相对于其他发达国家政府债券的便利收益率差异，并分析其长期下降趋势及危机期间的变化。
We quantify the difference in the convenience yield of U.S. Treasuries and government bonds of other developed countries by measuring the deviation from covered interest parity between government bond yields. We call this wedge the "U.S. Treasury Premium." We document a secular decline in the U.S. Treasury Premium at medium to long maturities. The five-year U.S. Treasury Premium averages approximately 21 basis points prior to the Global Financial Crisis, increases up to 90 basis points during the crisis, and disappears after the crisis with the post-crisis mean at −8 basis points. Meanwhile, the short-term U.S. Treasury Premium remains positive post-crisis. We discuss the impact of sovereign credit risk, foreign exchange swap market frictions, and the relative supply of government bonds on the U.S. Treasury Premium