We document a regime change in the Treasury market post-Global Financial Crisis (GFC):
dealers switched from net short to net long Treasury bonds. We construct “net-long” and “net …

We demonstrate the passthrough of Treasury supply to bank deposit funding through bank
market power. We show that an increase in Treasury supply crowds out bank deposits with …

In March 2020, safe asset markets experienced surprising and unprecedented price
crashes. We explain how strategic investor behavior can create such market fragility in a …

We show theoretically that persistent deviations from covered interest parity (CIP) across
multiple horizons imply simultaneous arbitrage opportunities only if uncollateralized …

We provide estimates of Treasury convenience premia across the entire term structure of
Treasury bills, notes, and bonds over more than a quarter of a century and document a …

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 …

We study the valuation of state-issued tax-exempt municipal bonds and find that there are
significant convenience premia in their prices. These premia parallel those identified in …

We quantify the impact of risk‐based and nonrisk‐based intermediary constraints (IC) on the
term structure of covered interest rate parity (CIP) violations. Using a stochastic discount …

Purpose The study attempts to identify the linkages in the term structure of illiquidity and the
impact of global and domestic factors on sovereign bonds in emerging Asia. The objective of …

Convenience yields on safe assets affect the constraints that asset price data impose on
asset pricing models. We show that high Sharpe ratios imply either a volatile stochastic …