EHL is honored to welcome Mr Christophe Pérignon from EHC for a paper presentation on:
Paper summary: Can claims on the private sector serve the role of safe assets? We answer this question using high-frequency panel data on prices and quantities of certificates of deposit (CD) issued by European banks, and commercial paper (CP) issued by European non-financial institutions. We show that, in a sample of assets with maturities of up to one year, only very short-term debt securities benefit from a premium for safety. Furthermore, the issuance of the short-term CDs (but not CPs) increases at times when issuance of Treasury bills goes down. This relationship is stronger for issuers with the highest credit quality and during low market stress, and cannot be explained by selection on credit quality or maturity. We conclude that only very short-term private assets can be considered as safe, but even those are sensitive to changes in the information environment and should not be treated as equally safe at all times.
This event is part of a series of research seminars at EHL focused on finance and real estate.
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