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BibTex format

@article{Kacperczyk:2021:10.1111/jofi.12997,
author = {Kacperczyk, MT and Perignon, C and Vuillemey, G},
doi = {10.1111/jofi.12997},
journal = {The Journal of Finance},
pages = {495--535},
title = {The private production of safe assets},
url = {http://dx.doi.org/10.1111/jofi.12997},
volume = {76},
year = {2021}
}

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TY  - JOUR
AB  - Using high-frequency, granular panel data on short-term debt securities issued in Europe, we study the existence, empirical boundaries, and fragility of private assets’ safety. We show that only securities with the shortest maturities, issued by banks (certificates of deposit, or CDs), benefit from a safety premium. The supply of such CDs responds positively to excess safety demand. During periods of stress, this relation vanishes for all issuers of private securities, even though their aggregate volumes do not collapse. Other dimensions of heterogeneity, including issuers’ balance sheets or their domicile countries’ fiscal capacity, are less relevant for private safety.
AU  - Kacperczyk,MT
AU  - Perignon,C
AU  - Vuillemey,G
DO  - 10.1111/jofi.12997
EP  - 535
PY  - 2021///
SN  - 0022-1082
SP  - 495
TI  - The private production of safe assets
T2  - The Journal of Finance
UR  - http://dx.doi.org/10.1111/jofi.12997
UR  - https://onlinelibrary.wiley.com/doi/10.1111/jofi.12997
UR  - http://hdl.handle.net/10044/1/85691
VL  - 76
ER  -

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