Faculty of Science, Technology and Medicine
Faculty of Law, Economics and Finance
Faculty of Humanities, Education and Social Sciences
Interdisciplinary Centre for Security, Reliability and Trust
Luxembourg Centre for Systems Biomedicine
Luxembourg Centre for Contemporary and Digital History
Luxembourg Centre for European Law
Luxembourg Centre for Socio-Environmental Systems
“The Historical US Funding Advantage Since 1860”
With the Lunch Seminar series, the Department of Finance is bringing eminent and up-and-coming researchers from around the world to Luxembourg.
Abstract
We provide the first consistent historical estimate of US Treasury funding advantage, as measured by term structures of yield spreads between comparable highest-grade US corporate bonds and Treasurys. We construct a new dataset with monthly prices, cash-flows, and ratings for US corporate bonds over 1860-2024. We adjust yield curve estimation techniques to account for tax treatments and embedded options. Existing index-based spreads have mismeasured US funding advantage on long-term bonds in the post-WWI period, particularly during high inflation episodes. An asset pricing model for US funding advantage finds that standard risk factors, not quantity changes, explain most variation in spreads.
About the speaker
Jonathan Payne is an Assistant Professor in the Bendheim Center for Finance in the Department of Economics at Princeton University. He completed his Ph.D. at New York University.
His research studies questions in finance, banking, macroeconomics, economic history, computational economics and econometrics.
Language
English.
This is a free event. Registration is mandatory.
Cold lunches are provided to registered participants only.