https://macropaperwarehouse.com/authors/andrew-hanson/Andrew HansonHugo -- gohugo.ioen-ushttps://macropaperwarehouse.com/papers/unconventional-monetary-policy-spillovers-and-the-inconvenience-of-treasuries/https://macropaperwarehouse.com/papers/unconventional-monetary-policy-spillovers-and-the-inconvenience-of-treasuries/<p><strong>Research Question</strong></p> <p>The paper asks why unconventional monetary policy (UMP) spillovers from the European Central Bank (ECB) to the U.S. Treasury yield curve vary so substantially over time, and whether the time-varying &ldquo;convenience&rdquo; of Treasuries — their non-pecuniary premium as the world&rsquo;s preeminent safe asset — can explain that variation. The core claim is that a declining convenience yield on Treasuries makes them more substitutable with other safe sovereign bonds, thereby amplifying the portfolio-balance channel through which foreign large-scale asset purchases (LSAPs) depress U.S. term premia.</p>