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DTSTART:20240228T120000
DTEND:20240228T140000
DTSTAMP:20260405T211000
SUMMARY:Joint ESM-UNILU Seminar with Viral V. Acharya, NYU Stern, USA
DESCRIPTION:Abstract:\n\nWe document that the convenience yield of U.S. Treasuries exhibits properties that are consistent with a hedging perspective of safe assets. The convenience yield tends to be low when the covariance of Treasury returns with the aggregate stock market returns is high. A decomposition of the aggregate stock-bond covariance into terms corresponding to the convenience yield, the frictionless risk-free rate, and default risk reveals that the covariance between stock returns and the convenience yield itself drives the effect in a substantive capacity. We show the convenience yield is reduced with heightened inflation expectations that erode the hedging properties of U.S. Treasuries and other fixed-income money-like assets, inducing a switch to alternatives such as gold; it is also reduced immediately prior to debt-ceiling standoffs and with increases in Treasury supply.\n\nAbout Prof. Viral V. Acharya:\nC.V. Starr Professor of Economics\nCo-director of the NYU Stern Henry Kaufman Initiative on Financial History, Fall 2023-2026\nDeputy Governor, Reserve Bank of India (23rd Jan 2017 to 23rd July 2019)\n\nLanguage: English\n\nThis is a free seminar. Registration is mandatory.\n\nPlease note that cold lunch will be provided for registered participants (12h-12h30).\n\nThis is a joint event held with the European Stability Mechanism and the Department of Finance of the University of Luxembourg.\n\nRead more: https://www.uni.lu/fdef-en/events/df-lunch-seminar-with-viral-v-acharya-nyu-stern-usa/
UID:UL-7328
LOCATION:6 - rue Richard Coudenhove-Kalergi 1359 Kirchberg Luxembourg
URL:https://www.uni.lu/fdef-en/events/df-lunch-seminar-with-viral-v-acharya-nyu-stern-usa/
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