The Demand for Government Debt

References

• Acharya VV, Laarits T (2023) When do Treasuries earn the convenience yield?—A hedging perspective. NBER Working Paper No. 31863, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Acosta M, Brennan CM, Jacobson MM (2024) Constructing high-frequency monetary policy surprises from SOFR futures. Econom. Lett. 242:111873. Crossref, Google Scholar
• Ahmed R, Rebucci A (2022) Dollar reserves and us yields: Identifying the price impact of official flows. NBER Working Paper No. 30476, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Aldunate FE, Da Z, Larrain B, Sialm C (2022) Pension Fund flows, exchange rates and covered interest rate parity. Preprint, submitted October 15, https://doi.org/10.2139/ssrn.4234493.Google Scholar
• Barth D, Kahn RJ (2021) Hedge funds and the Treasury cash-futures disconnect. Technical report. OFR WP, 21–01.Google Scholar
• Bauer MD, Swanson ET (2022) A reassessment of monetary policy surprises and high-frequency identification. NBER Working Paper No. 29939, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Bauer MD, Swanson ET (2023) An alternative explanation for the Fed information effect. Amer. Econom. Rev. 113(3):664–700.Crossref, Google Scholar
• Beltran DO, Kretchmer M, Marquez J, Thomas CP (2013) Foreign holdings of U.S. Treasuries and U.S. Treasury yields. J. Internat. Money Finance 32:1120–1143.Crossref, Google Scholar
• Bernanke B, Reinhart V, Sack B (2004) Monetary policy alternatives at the zero bound: An empirical assessment. Brookings Papers Econom. Act 2004(2):1–100.Crossref, Google Scholar
• Borio C, Zabai A (2018) Unconventional monetary policies: A re-appraisal. Conti-Brown P, Lastra RM, eds. Research Handbook on Central Banking (Edward Elgar Publishing, Cheltenham, UK), 398–444.Crossref, Google Scholar
• Braun R, Miranda-Agrippino S, Saha T (2025) Measuring monetary policy in the UK: The UK monetary policy event-study database. J. Monetary Econom. 149:103645.Crossref, Google Scholar
• Bretscher L, Schmid L, Sen I, Sharma V (2022) Institutional corporate bond pricing. Swiss Finance Institute Research Paper No. 21-07, SFI, Switzerland.Google Scholar
• Bu C, Rogers J, Wu W (2021) A unified measure of Fed monetary policy shocks. J. Monetary Econom. 118:331–349.Crossref, Google Scholar
• Camanho N, Hau H, Rey H (2022) Global portfolio rebalancing and exchange rates. Rev. Financial Stud. 35(11):5228–5274.Crossref, Google Scholar
• Carpenter S, Demiralp S, Ihrig J, Klee E (2015) Analyzing Federal Reserve asset purchases: From whom does the Fed buy? J. Banking Finance 52:230–244.Crossref, Google Scholar
• CGFS (2019) Unconventional monetary policy tools: A cross-country analysis. Technical report, Committee on the Global Financial System, BIS, Switzerland.Google Scholar
• Chaudhary M, Fu Z, Li J (2022) Corporate bond multipliers: Substitutes matter. Preprint, submitted December 16, http://dx.doi.org/10.2139/ssrn.4292266.Google Scholar
• Chaudhary M, Fu Z, Zhou H (2024) Anatomy of the Treasury market: Who moves yields? Preprint, submitted November 25, http://dx.doi.org/10.2139/ssrn.5021055.Google Scholar
• Choi J, Kirpalani R (2023) U.S. public debt and safe asset market power. Technical report, University of Toronto, Toronto.Google Scholar
• Cieslak A (2018) Short-rate expectations and unexpected returns in Treasury bonds. Rev. Financial Stud. 31(9):3265–3306.Crossref, Google Scholar
• Coppola A (2021) In safe hands: The financial and real impact of investor composition over the credit cycle. Rev. Financ. Stud. 38(8):2275–2325.Google Scholar
• D’Amico S, Seida T (2024) Unexpected supply effects of quantitative easing and tightening. Econom. J. 134(658):579–613.Google Scholar
• d’Avernas A, Vandeweyer Q (2023) Treasury bill shortages and the pricing of short-term assets. J. Finance.Google Scholar
• Darmouni O, Siani K, Xiao K (2022) Nonbank fragility in credit markets: Evidence from a two-layer asset demand system. Preprint, submitted December 12, http://dx.doi.org/10.2139/ssrn.4288695.Google Scholar
• Doerr S, Eren E, Malamud S (2023) Money market funds and the pricing of near-money assets. BIS Working paper, Basel, Switzerland.Google Scholar
• Domanski D, Shin HS, Sushko V (2017) The hunt for duration: Not waving but drowning? IMF Econom. Rev. 65:113–153.Crossref, Google Scholar
• Du W, Forbes K, Luzzetti MN (2024) Quantitative tightening around the globe: What have we learned? NBER Working Paper No. 32321, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Du W, Tepper A, Verdelhan A (2019) Deviations from covered interest rate parity. J. Finance 73(3):915–995.Crossref, Google Scholar
• Fang C, Xiao K (2025) What do $40 trillion of portfolio holdings say about monetary policy transmission? Working paper, Columbia Business School, New York.Google Scholar
• Fang X, Hardy B, Lewis KK (2022) Who holds sovereign debt and why it matters. NBER Working Paper No. 30087, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Gabaix X, Koijen RSJ (2019) Granular instrumental variables. Preprint, submitted April 15, https://doi.org/10.2139/ssrn.3368612.Google Scholar
• Gabaix X, Koijen RSJ (2020) In search of the origins of financial fluctuations: The inelastic markets hypothesis. Preprint, submitted October 23, https://doi.org/10.2139/ssrn.3686935.Google Scholar
• Greenwood R, Vayanos D (2014) Bond supply and excess bond returns. Rev. Financial Stud. 27(3):663–713.Crossref, Google Scholar
• Greenwood R, Vissing-Jorgensen A (2018) The impact of pensions and insurance on global yield curves. Working paper, Harvard Business School, Boston.Google Scholar
• Greenwood R, Hanson SG, Stein JC (2015) A comparative-advantage approach to government debt maturity. J. Finance 70(4):1683–1722.Crossref, Google Scholar
• Jansen K (2023) Long-term investors, demand shifts, and yields. Working paper, De Nederlandsche Bank, Amsterdam.Google Scholar
• Jansen KAE, Li W, Schmid L (2024) Granular Treasury demand with arbitrageurs. Preprint, submitted September 30, http://dx.doi.org/10.2139/ssrn.4940397.Google Scholar
• Jarociński M, Karadi P (2020) Deconstructing monetary policy surprises—The role of information shocks. Amer. Econom. J. Macroeconom. 12(2):1–43.Crossref, Google Scholar
• Jiang Z, Sun J (2024) Quantitative tightening with slow-moving capital. NBER Working Paper No. 32757, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Jiang Z, Krishnamurthy A, Lustig H (2021) Foreign safe asset demand and the dollar exchange rate. J. Finance 76(3):1049–1089.Crossref, Google Scholar
• Jiang Z, Richmond RJ, Zhang T (2022) Understanding the strength of the dollar. NBER Working Paper No. 30558, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Kearns J, Schrimpf A, Xia FD (2022) Explaining monetary spillovers: The matrix reloaded. J. Money, Credit Banking.Google Scholar
• Koijen RSJ, Yogo M (2019) A demand system approach to asset pricing. J. Political Econom. 127(4):1475–1515.Crossref, Google Scholar
• Koijen RSJ, Yogo M (2020) Exchange rates and asset prices in a global demand system. NBER Working Paper No. 27342, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Koijen RSJ, Koulischer F, Nguyen B, Yogo M (2021) Inspecting the mechanism of quantitative easing in the euro area. J. Financial Econom. 140(1):1–20.Crossref, Google Scholar
• Krishnamurthy A, Li W (2023) The demand for money, near-money, and treasury bonds. Rev. Financial Stud. 36(5):2091–2130.Crossref, Google Scholar
• Krishnamurthy A, Vissing-Jorgensen A (2012) The aggregate demand for treasury debt. J. Political Econom. 120(2):233–267.Crossref, Google Scholar
• Kubota H, Shintani M (2022) High-frequency identification of monetary policy shocks in Japan. Japanese Econom. Rev. 73(3):483–513.Crossref, Google Scholar
• Kuttner KN (2001) Monetary policy surprises and interest rates: Evidence from the Fed funds futures market. J. Monetary Econom. 47(3):523–544.Crossref, Google Scholar
• Nagel S (2016) The liquidity premium of near-money assets. Quart. J. Econom. 131(4):1927–1971.Crossref, Google Scholar
• Nakamura E, Steinsson J (2013) High frequency identification of monetary non-neutrality: The information effect. NBER Working Paper No. 19260, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Nakamura E, Steinsson J (2018) High-frequency identification of monetary non-neutrality: The information effect. Quart. J. Econom. 133(3):1283–1330.Crossref, Google Scholar
• Newey WK, West KD (1994) Automatic lag selection in covariance matrix estimation. Rev. Econom. Stud. 61(4):631–653.Crossref, Google Scholar
• Olea JLM, Pflueger C (2013) A robust test for weak instruments. J. Bus. Econom. Statist. 31(3):358–369.Crossref, Google Scholar
• Rime D, Schrimpf A, Syrstad O (2022) Covered interest parity arbitrage. Rev. Financial Stud. 35(11):5185–5227.Crossref, Google Scholar
• Saito M, Hogen Y (2014) Portfolio rebalancing following the Bank of Japan’s government bond purchases: Empirical analysis using data on bank loans and investment flows. Bank of Japan Research Papers 14-06-19. Bank of Japan, Tokyo.Google Scholar
• Schrimpf A, Shin HS, Sushko V (2020) Leverage and margin spirals in fixed income markets during the Covid-19 crisis. BIS Bulletin no.2, Basel, Switzerland.Google Scholar
• Siani K (2022) Raising bond capital in segmented markets. Preprint, submitted October 17, https://doi.org/10.2139/ssrn.4239841.Google Scholar
• Swanson E (2021) Measuring the effects of federal reserve forward guidance and asset purchases on financial markets. J. Monetary Econom. 118:32–53.Crossref, Google Scholar
• Tabova AM, Warnock FE (2022) Preferred habitats and timing in the world’s safe asset. NBER Working Paper No. 30722, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Vayanos D, Vila J-L (2021) A preferred-habitat model of the term structure of interest rates. Econometrica 89(1):77–112.Crossref, Google Scholar
• Vissing-Jorgensen A (2021) The treasury market in spring 2020 and the response of the federal reserve. J. Monetary Econom. 124:19–47.Crossref, Google Scholar
• Warnock FE, Warnock VC (2009) International capital flows and U.S. interest rates. J. Internat. Money Finance 28(6):903–919.Crossref, Google Scholar
• Wright JH (2022) Shrinking the Fed balance sheet. Working paper, Johns Hopkins University, Baltimore.Google Scholar
• Zhou H (2023) The fickle and the stable: Global Financial Cycle transmission via heterogeneous investors. Preprint, submitted November 27, https://doi.org/10.2139/ssrn.4616182.Google Scholar