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040 |aCaOODSP|beng|erda|cCaOODSP
0410 |aeng|beng|bfre
0861 |aFB3-5/2025-34E-PDF
1001 |aJuelsrud, Ragnar |d1986- |eauthor.
24510|aTransaction costs, the value of convenience, and the cross-section of safe asset returns / |cRagnar Juelsrud, Plamen Nenov, Fabienne Schneider, Olav Syrstad.
264 1|a[Ottawa] : |bBank of Canada = Banque du Canada, |cNovember 25, 2025.
264 4|c©2025
300 |a1 online resource (ii, 20 pages) : |bgraphs.
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |a[Staff working paper = |aDocument de travail du personnel], |x1701-9397 ; |v2025-34
500 |aCover title.
500 |aIncorrect series statement (Staff analytical note/Note analytique du personnel) printed in this publication.
504 |aIncludes bibliographical references (pages 28-33).
5203 |a"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.
546 |aIncludes abstracts in English and French.
650 0|aMonetary policy|xEconometric models.
650 0|aEquilibrium (Economics)|xEconometric models.
650 0|aLiquidity (Economics)
650 6|aPolitique monétaire|xModèles économétriques.
650 6|aÉquilibre (Économie politique)|xModèles économétriques.
650 6|aLiquidité (Économie politique)
7102 |aBank of Canada, |eissuing body.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2025-34.|w(CaOODSP)9.806221
85640|qPDF|s1.20 MB|uhttps://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2025-34-eng.pdf