The Private Production of Safe Assets

59 Pages Posted: 13 Jun 2017

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

Multiple version iconThere are 3 versions of this paper

Date Written: June 2017

Abstract

Do claims on the private sector serve the role of safe assets? We answer this question using high-frequency panel data on prices and quantities of certificates of deposit (CD) and commercial paper (CP) issued in Europe. We show that only very short-term private securities benefit from a premium for safety. We then use several sources of variation to show that the issuance of short-term CDs strongly responds to measures of safety demand. The private production of safe assets is stronger for issuers with high credit worthiness, and breaks down during episodes of market stress. We conclude that even very short-term private assets are sensitive to changes in the information environment and should not be treated as equally safe at all times.

Keywords: Collateral, safe assets, 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 (June 2017). CEPR Discussion Paper No. DP12086, Available at SSRN: https://ssrn.com/abstract=2984782

Marcin T. Kacperczyk (Contact Author)

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

HEC Paris ( email )

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

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