00000nam 2200000zi 4500 9.957717 CaOODSP 20251127072035 m o d f cr cn||||||||| 251127e20251125oncd ob f000 0 eng d CaOODSP eng rda CaOODSP eng eng fre FB3-5/2025-34E-PDF Juelsrud, Ragnar 1986- author. Transaction costs, the value of convenience, and the cross-section of safe asset returns / Ragnar Juelsrud, Plamen Nenov, Fabienne Schneider, Olav Syrstad. [Ottawa] : Bank of Canada = Banque du Canada, November 25, 2025. ©2025 1 online resource (ii, 20 pages) : graphs. text txt rdacontent computer c rdamedia online resource cr rdacarrier [Staff working paper = Document de travail du personnel], 1701-9397 ; 2025-34 Cover title. Incorrect series statement (Staff analytical note/Note analytique du personnel) printed in this publication. Includes bibliographical references (pages 28-33). "In this paper we study the cross-section of equilibrium returns on safe assets using a tractable asset pricing model with a micro-founded demand for liquidity and multiple safe assets with heterogeneous transaction costs. A key feature of our model is the "value of convenience," which is an equilibrium object that measures the level of liquidity risk-sharing in the economy. Changes in asset supply or the transaction cost of a single safe asset affect aggregate liquidity and the returns of all assets. The model features a pecuniary externality, which investors fail to internalize when forming their portfolios and which impacts equilibrium welfare. Therefore, policies that increase the payoff on the most liquid asset improve welfare in the competitive equilibrium. We test the main predictions of our theory using a novel measure of relative (in)convenience yields in the US Treasury market"--Abstract, page ii. Includes abstracts in English and French. Monetary policy Econometric models. Equilibrium (Economics) Econometric models. Liquidity (Economics) Politique monétaire Modèles économétriques. Équilibre (Économie politique) Modèles économétriques. Liquidité (Économie politique) Bank of Canada, issuing body. Staff working paper (Bank of Canada) 1701-9397 ; 2025-34. (CaOODSP)9.806221 PDF 1.20 MB https://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2025-34-eng.pdf