Fabienne Schneider - Latest

• Transaction Costs, the Value of Convenience, and the Cross-Section of Safe Asset Returns

  Staff Working Paper 2025-34 Ragnar Juelsrud, Plamen Nenov, Fabienne Schneider, Olav Syrstad

  We study the cross-section of equilibrium returns on safe assets using a tractable asset pricing model with a micro-founded demand for liquidity and multiple safe assets with heterogeneous transaction costs. We test the main predictions of our theory using a novel measure of relative (in)convenience yields in the US Treasury market.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Debt management, Financial markets, Monetary policy JEL Code(s): E, E4, E44, G, G1, G12

• On-the-run Premia, Settlement Fails, and Central Bank Access

  Staff Working Paper 2025-19 Fabienne Schneider

  The premium on “on-the-run” Treasuries is an anomaly. I explain it using a model in which primary dealers hold inventories of Treasuries. I use the model to analyze the effects of granting access to central bank facilities.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Market structure and pricing, Monetary policy JEL Code(s): G, G1, G12, G19, G2, G23