Title
The Increasing Default Risk Of Us Treasury Securities Due To The Financial Crisis
Keywords
Bond default risk; Financial crises; Risk-free interest rate; Treasury securities; US debt limit; US deficit; Yield spread
Abstract
This 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. © 2010 Elsevier B.V.
Publication Date
10-1-2010
Publication Title
Journal of Banking and Finance
Volume
34
Issue
10
Number of Pages
2472-2480
Document Type
Article
Personal Identifier
scopus
DOI Link
https://doi.org/10.1016/j.jbankfin.2010.04.005
Copyright Status
Unknown
Socpus ID
77955983431 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/77955983431
STARS Citation
Nippani, Srinivas and Smith, Stanley D., "The Increasing Default Risk Of Us Treasury Securities Due To The Financial Crisis" (2010). Scopus Export 2010-2014. 737.
https://stars.library.ucf.edu/scopus2010/737