Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints
研究发现，全球金融危机后美国国债便利性溢价下降，主要源于一级交易商在国债拍卖中的超额需求减少、持仓增加及2015年后资产负债表约束的加剧。
After the global financial crisis, the yields of U.S. Treasury bills frequently exceed other risk-free rate benchmarks, thereby pointing to a diminishing convenience premium. Constructing a new measure of dealers' balance sheet constraints for providing intermediation in U.S. Treasury markets, we trace these diminishing convenience premiums to primary dealers' ability to act as intermediaries. Even after accounting for Treasury supply, levels of interest rates, and other controls, falling excess demand of primary dealers in Treasury auctions, their increased Treasury holdings, and balance sheet constraints post-2015, remain key variables in explaining the diminishing convenience premiums.