Foreign Investors and Us Treasuries

52 Pages Posted: 27 Sep 2021 Last revised: 20 Apr 2022

See all articles by Alexandra Tabova

Alexandra Tabova

Board of Governors of the Federal Reserve System

Francis E. Warnock

University of Virginia - Darden Business School; National Bureau of Economic Research (NBER)

Date Written: September 2021


We build, from confidential security-level surveys, a novel dataset on the size, flows, coupon payments, and returns of the US Treasuries portfolios of foreign and US investors. The internally consistent dataset provides evidence on foreigners’ Treasuries portfolios that sharply contrasts with what is portrayed in the literature. Foreigners do not earn spectacularly low returns; they have higher average annual risk-adjusted returns than US investors (although the differences are well within the bounds of standard confidence intervals), as US investors’ strong mean returns are accompanied by higher volatility. Foreigners do not buy Treasuries when they are expensive; dollar-weighted returns that capture the timing and volume of purchases show that both private and official foreigners outperform US investors. And private foreign investors do not have inelastic demand; they are price sensitive, increasing purchases of Treasuries and the duration of their Treasury portfolios when non-US sovereign yields are low or decrease relative to Treasury yields. Our results should inform many literatures, including any that use data on international positions and flows. In fact, an important practical contribution is that the dataset shows which publicly available data on foreigners’ flows should (and should not) be used.

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Suggested Citation

Tabova, Alexandra and Warnock, Francis E., Foreign Investors and Us Treasuries (September 2021). NBER Working Paper No. w29313, Available at SSRN:

Alexandra Tabova (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Francis E. Warnock

University of Virginia - Darden Business School ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-924-6076 (Phone)


National Bureau of Economic Research (NBER) ( email )

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