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ESM/Uni joint seminar with Viral Acharya: "When do Treasuries Earn the Convenience Yield? — A Hedging Perspective"

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Agenda

 Professor Viral V. Acharya, C.V. Starr Professor of Economics at the New York University Stern School of Business will be present at the University of Luxembourg, at the Kirchberg Campus, to give a seminar on Wednesday, the 28th of February 2024 titled: "When do Treasuries Earn the Convenience Yield? — A Hedging Perspective".

 

Please register here to attend the event. ESM-UNI.LU Lunch Seminar Prof. Viral V. Acharya, NYU Stern Registration, Wed 28 Feb 2024 at 12:00 | Eventbrite

 

This is a joint event with the ESM and the Department of Finance of the University of Luxembourg.

 

Abstract:

We document that the convenience yield of U.S. Treasuries exhibits properties that are consistent with a hedging perspective of safe assets. The convenience yield tends to be low when the covariance of Treasury returns with the aggregate stock market returns is high. A decomposition of the aggregate stock-bond covariance into terms corresponding to the convenience yield, the frictionless risk-free rate, and default risk reveals that the covariance between stock returns and the convenience yield itself drives the effect in a substantive capacity. We show the convenience yield is reduced with heightened inflation expectations that erode the hedging properties of U.S. Treasuries and other fixed-income money-like assets, inducing a switch to alternatives such as gold; it is also reduced immediately prior to debt-ceiling standoffs and with increases in Treasury supply.

Registration is mandatory

 

Please note that cold lunch will be provided for registered participants (12h-12h30)