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Convenience Lost

Author

Listed:
  • Zhengyang Jiang
  • Robert J. Richmond
  • Tony Zhang

Abstract

We show long-term Treasury convenience yields are more sensitive to changes in Treasury supply than short-term Treasury convenience yields. The fiscal expansion in the past two decades and the resultant increase in Treasury supply depressed convenience yields heterogeneously across maturities — driving them close to zero for short-term Treasurys and into negative territory for long-term Treasurys. As a result, the aggregate seigniorage revenue earned by the U.S. from issuing safe and liquid financial assets has declined by a third. Issuing only short-term Treasurys could preserve the seigniorage revenue earned from Treasury convenience yields but would expose the government to more rollover risk.

Suggested Citation

  • Zhengyang Jiang & Robert J. Richmond & Tony Zhang, 2025. "Convenience Lost," NBER Working Papers 33940, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:33940
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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F30 - International Economics - - International Finance - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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