The Private Production of Safe Assets

68 Pages Posted: 12 Jun 2017 Last revised: 10 Aug 2020

See all articles by Marcin T. Kacperczyk

Marcin T. Kacperczyk

Imperial College London - Accounting, Finance, and Macroeconomics; Centre for Economic Policy Research (CEPR)

Christophe Pérignon

HEC Paris - Finance Department

Guillaume Vuillemey

HEC Paris - Finance Department

Multiple version iconThere are 3 versions of this paper

Date Written: August 10, 2020

Abstract

Using high-frequency, granular panel data on short-term debt securities issued in Europe, we study the existence, empirical boundaries, and fragility of private assets’ safety. We show that only securities with the shortest maturities, issued by banks (certificates of deposit, or CDs), benefit from a safety premium. The supply of such CDs responds positively to excess safety demand. During periods of stress, this relation vanishes for all issuers of private securities, even though their aggregate volumes do not collapse. Other dimensions of heterogeneity, including issuers’ balance sheets or their domicile countries’ fiscal capacity, are less relevant for private safety.

Keywords: Safe assets, Collateral, Short-term debt, Treasuries

JEL Classification: E44, G21

Suggested Citation

Kacperczyk, Marcin T. and Pérignon, Christophe and Vuillemey, Guillaume, The Private Production of Safe Assets (August 10, 2020). HEC Paris Research Paper No. FIN-2017-1212, Available at SSRN: https://ssrn.com/abstract=2984146 or http://dx.doi.org/10.2139/ssrn.2984146

Marcin T. Kacperczyk

Imperial College London - Accounting, Finance, and Macroeconomics ( email )

South Kensington campus
London SW7 2AZ
United Kingdom

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Christophe Pérignon

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France

Guillaume Vuillemey (Contact Author)

HEC Paris - Finance Department ( email )

1 rue de la Libération
Paris, Not Applicable 78351
France
+33660204275 (Phone)

HOME PAGE: http://sites.google.com/site/guillaumevuillemey/home

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