关于美国国债.pdf

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1、On US TreasuriesFrank WarnockUniversity of VirginiaBased on joint work with Alexandra Tabova(Board of Governors)Most Treasury debt is long-term.Average maturity is about 5.5 years.Not shown:$2 trillion in TIPS.Reasons Not to Worry About Treasury Rollover Risk Convenience Yield Literature:Dont worry,

2、foreigners stand ready to buy at high prices.Foreigners derive sizeable(e.g.,200bps per year)non-pecuniary benefits from Treasuries,have inelastic demand and tend to buy Treasuries when they are expensive.Exorbitant Privilege Literature:The US pays little to borrow.The interest that the U.S.must pay

3、 on its foreign liabilities is two to three percentage points less than the rate of return on its foreign investments.Reasons Not to Worry About Treasury Rollover Risk Convenience Yield Literature:Dont worry,foreigners stand ready to buy at high prices.Foreigners derive sizeable(e.g.,200bps per year

4、)non-pecuniary benefits from Treasuries,have inelastic demand and tend to buy Treasuries when they are expensive.Exorbitant Privilege Literature:The US pays little to borrow.The interest that the U.S.must pay on its foreign liabilities is two to three percentage points less than the rate of return on its foreign investments.Who holds Treasuries?Foreign governments Treasury holdings have been flat for a decade,as have for global fx reserves.