Plamen Nenov - 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 JEL Code(s): E, E4, E44, G, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission