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Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy

Wenxin Du, Carolin E. Pflueger, Jesse Schreger

NBER Working Paper No. 22592
Issued in September 2016, Revised in August 2019

---- Acknowledgments ----

We are grateful to Mark Aguiar, Daniel Andrei, Adrien Auclert (discussant), John Campbell, Lorenzo Garlappi, Joshua Gottlieb, Juan Carlos Hatchondo (discussant), Tarek Hassan, Oleg Itskhoki, Thomas Mertens, Vincenzo Quadrini (discussant), Julio Rotemberg, Rosen Valchev (discussant), Adrien Verdelhan, Jenny Tang, Pierre Yared, and seminar participants at AEA 2016, UCLA Anderson, Columbia University, Stanford GSB, MIT Sloan, the 8th Macro-Society Meeting, NBER Summer Institute, UC Santa Barbara, the San Francisco Federal Reserve, the Federal Reserve Bank of Chicago, the Bank for International Settlements, and the University of British Columbia for helpful comments. Jiri Knesl, Sandra Ramirez, George Vojta, and Nanyu Chen provided excellent research assistance. Pflueger thanks MIT Sloan and Stanford GSB for their hospitality and UBC for research funding while working on this research. Schreger thanks the Princeton Economics Department for their hospitality during the research process and the Harvard Business School Division of Research for financial support. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

---- Disclosure of Financial Relationships for Carolin E. Pflueger ----

Carolin Pflueger is working at and receiving salary from the University of British Columbia (Canada). Funding from the Social Sciences and Humanities Research Council of Canada (grant number 430-2014-00796) is gratefully acknowledged.

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