Asset Details
Do you wish to reserve the book?
The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys
Do you wish to request the book?
The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Journal Article
The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys
2024
Overview
Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual “dollar-weighted” returns, measured by the internal rate of return on their purchases and sales of Treasury bonds, are over 3.26 percentage points (pp) lower than a buy-and-hold strategy over the same horizon. Their returns are 1.62 pp lower than the returns earned by domestic investors. We also explore the heterogeneity across foreign investors, and find that official investors and developing country investors underperform more than other foreign investors. Our results are consistent with theories in which foreign investors are price-inelastic buyers of safe dollar assets, and increase their demand for dollar assets in stress periods.
Publisher
Palgrave Macmillan
Subject
