Global ETD Search
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Showing 1 to 2 of 2 for “"Convenience Yields"”.
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Essays in Monetary Economics and International Finance
… disasters. In Chapter 3, U.S. Risk and Treasury Convenience, which is co-authored with Giancarlo Corsetti, Simon Lloyd and Emile Marin, we investigate whether U.S. monetary policy has eroded the U.S.'s safety premium over time and across asset classes. We first document that, over the past two …
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Essays in International Finance
… a novel model, based on the mechanism of bond convenience yields, that can explain both the short and the long horizon UIP violations. I also provide direct empirical evidence that supports the mechanism. </p><p>In chapter 2, I address the puzzling observation that portfolios are concentrated …