Decoupling Dollar and Treasury Privilege
研究发现美元与美债的便利收益率近年显著脱钩：美元仍具高便利性，但美债便利性大幅下降甚至转负，尤其在中长期限，主因是美国与其他发达市场国债的相对供给变化。
We document a strong decoupling between the convenience yield on the U.S. dollar and U.S. Treasuries. We measure the convenience of the U.S. dollar using covered interest parity (CIP) deviations between risk-free bank rates, such as secured overnight rates since the benchmark reform. In parallel, we measure the convenience of U.S. Treasury bonds through CIP deviations between government bond yields. We find a pronounced divergence between the two convenience measures in recent years: while the U.S. dollar exhibits strong convenience post-Global Financial Crisis, the U.S. Treasury convenience has not only declined substantially but has turned negative, most strongly so at medium- to long-term maturities. We argue that the relative supply of government bonds between the U.S. and other developed markets is a key driver of the U.S. Treasury convenience compared to other government bonds. Finally, we present a simple framework with a constrained global financial intermediary to link dollar and Treasury convenience.