The increasing default risk of US Treasury securities due to the financial crisis
Abbreviated Journal Title
J. Bank Financ.
Financial crises; Treasury securities; Bond default risk; Risk-free; interest rate; US debt limit; US deficit; Yield spread; UNITED-STATES BANKRUPT; MARKET; Business, Finance; Economics
This paper paper examines the impact of the current financial crisis on long-term US Treasury yields by testing the impact of a series of events from December 2007 to March 2009 on the spread between 10-year USD LIBOR swap and 10-year US Treasury (constant maturity) rates to measure risk associated with Treasuries. Controlling for the liquidity of the two markets, the default risk of the swap, and the net foreign purchases of Treasury securities, we find that 13 of the tested 20 events have significantly negative coefficients. We conclude that the lower spread is consistent with greater default risk for US Treasury securities. (C) 2010 Elsevier B.V. All rights reserved.
Journal of Banking & Finance
"The increasing default risk of US Treasury securities due to the financial crisis" (2010). Faculty Bibliography 2010s. 594.