Replication data for: What Makes US Government Bonds Safe Assets?
Principal Investigator(s): View help for Principal Investigator(s) Zhiguo He; Arvind Krishnamurthy; Konstantin Milbradt
Version: View help for Version V1
Name | File Type | Size | Last Modified |
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P2016_1109_data | 10/12/2019 11:12:AM | ||
LICENSE.txt | text/plain | 14.6 KB | 10/12/2019 07:12:AM |
Project Citation:
He, Zhiguo, Krishnamurthy, Arvind, and Milbradt, Konstantin. Replication data for: What Makes US Government Bonds Safe Assets? Nashville, TN: American Economic Association [publisher], 2016. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113478V1
Project Description
Summary:
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US government bonds are considered to be the world's safe store of value, especially during periods of economic turmoil such as the events of 2008. But what makes US government bonds "safe assets"? We highlight coordination among investors, and build a model in which two countries with heterogeneous sizes issue bonds that may be chosen as safe asset. Our model illustrates the benefit of a large absolute debt size as safe asset investors have "nowhere else to go" in equilibrium, and the large country's bonds are chosen as the safe asset. Moreover, the effect becomes stronger in crisis periods.
Scope of Project
JEL Classification:
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E32 Business Fluctuations; Cycles
E43 Interest Rates: Determination, Term Structure, and Effects
H63 National Debt; Debt Management; Sovereign Debt
E32 Business Fluctuations; Cycles
E43 Interest Rates: Determination, Term Structure, and Effects
H63 National Debt; Debt Management; Sovereign Debt
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