IFin Seminar, Lukas Schmid - USC Marshall School of Business - Granular Treasury Demand with Arbitrageurs
Istituto di finanza
Data: 19 settembre 2025 / 12:25 - 13:40
Red Room (Executive Center) USI West Campus
Speaker: Lukas Schmid - USC Marshall School of Business
Title: Granular Treasury Demand with Arbitrageurs
Date: September 19, 2025
Time: 12:25 - 13:40
Room: Red Room (Executive Center) USI West Campus
Abstract:
We construct a novel dataset of sector-level U.S. Treasury holdings, covering the majority of the market. Using this dataset, we estimate maturity-specific demand functions and elasticities of different investors and the Fed, and integrate them into a dynamic equilibrium model of the Treasury market with risk-averse arbitrageurs. Quantifying the model reveals that (1) there is a steep downward-sloping term structure of Treasury market elasticity; (2) monetary tightening raises term premia due to arbitrageurs interacting with investors exhibiting high cross-elasticities; (3) QE has limited impact unless the Fed credibly commits to sustained balance sheet expansion.