When do Treasuries Earn the Convenience Yield? — A Hedging Perspective

We document that the convenience yield of U.S. Treasuries exhibits properties that are consistent with a hedging perspective of safe assets. The convenience yield tends to be low when the covariance of Treasury returns with the aggregate stock market returns is high. A decomposition of the aggregate我们实证表明，美国国债（U.S. Treasuries）的便利收益（convenience yield）所展现出的特性，与安全资产的对冲视角相符。当国债收益率与整体股票市场收益率的协方差（covariance）较高时，该便利收益往往处于较低水平。对整体的分解