DF Lunch Seminar with Jonathan E. Payne - Princeton University

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.

More about the speaker: ‪Johnathan E. Payne - Google Scholar

The seminar will be held in person.