Fabienne Schneider is a Senior Economist in the Financial Markets Department at the Bank of Canada. She is a financial economist whose primary research interests are government bond markets and their market structure. Before joining the Bank of Canada, Fabienne was a research and teaching assistant at the Study Center Gerzensee in Switzerland. She received her Ph.D. in economics from the University of Bern.
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.
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.
