The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys
本摘要源自该文的 NBER 工作论文版（2022），正式发表版可能有调整。
Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over the same horizon. In comparison, the IRRs achieved by domestic investors are at least 1% higher, while the IRRs achieved by the Federal Reserve are similarly low. Our results are consistent with theories where foreign investors are price-inelastic buyers of safe dollar assets, which provide them with convenience services.