Risk-Free Rates and Convenience Yields Around the World
从10个G11货币的指数期权价格中推断无风险利率，估算安全资产的便利收益率，发现各国便利收益率随利率水平上升，美国便利收益率排名第五，金融危机期间便利收益率上升但美外差异不大。
ABSTRACT We infer risk‐free rates from index option prices to estimate safe asset convenience yields in 10 G11 currencies. Countries' convenience yields increase with the level of their interest rates, with U.S. convenience yields fifth largest. During financial crises, convenience yields grow, but the difference between United States and foreign convenience yields generally does not. Covered interest parity (CIP) deviations using our option‐implied rates are a similar size between the United States and each other country. A model in which convenience yields depend on domestic financial intermediaries, but CIP deviations reflect the funding costs of international arbitrageurs financed with dollar‐denominated debt, explains these results.