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The Rest of the World's Dollar-Weighted Return on U.S. Treasurys

Author

Listed:
  • Jiang, Zhengyang

    (Kellogg School of Management, Northwestern University)

  • Krishnamurthy, Arvind

    (Stanford University, Graduate School of Business, and NBER)

  • Lustig, Hanno

    (Stanford University, Graduate School of Business, and NBER)

Abstract

Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over the same horizon. In comparison, the IRRs achieved by domestic investors are at least 1% higher, while the IRRs achieved by the Federal Reserve are similarly low. Our results are consistent with theories where foreign investors are price inelastic buyers of safe dollar assets, which provide them with convenience services.

Suggested Citation

  • Jiang, Zhengyang & Krishnamurthy, Arvind & Lustig, Hanno, 2022. "The Rest of the World's Dollar-Weighted Return on U.S. Treasurys," Research Papers 4014, Stanford University, Graduate School of Business.
    • Handle: RePEc:ecl:stabus:4014
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    Cited by:

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    More about this item

    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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