Dollar losing ‘convenience yield’ outside US – NBER paper
US-based investors favouring repo over Treasuries, authors find
International investors’ willingness to pay for the safety and liquidity of the dollar has eroded and local investors are preferring repurchase agreements over Treasuries, new research finds.
Arvind Krishnamurthy and Miguel Chumbo measured the US currency’s “convenience yield”, or the premium investors pay for the “liquidity/collateral/safety services” provided by dollar assets, over the past five years.
In their working paper, published this week by the US National Bureau of Economic Research
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