Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Debt Limit Impasses
研究发现，美国债务上限僵局期间国债的安全性和流动性暂时恶化，导致其货币溢价平均下降约6个基点，短期国债降幅高达50个基点，安全性和流动性各贡献约一半。
Abstract Treasury securities enjoy a “money premium” because they are ultra‐safe and liquid. However, during debt limit impasses, the safety and liquidity of Treasury securities temporarily deteriorate, eroding the money premium. Using past impasses, we find the money premium eroded by roughly six basis points across all Treasury securities and up to 50 basis points for the shortest maturities at the greatest risk of a delayed principal payment. Safety and liquidity each accounted for about half of the erosion. The deterioration of safety and liquidity also appears to interact, consistent with theories of default‐driven liquidity risk and the information sensitivity of debt.