Granular Treasury Demand with Arbitrageurs

We thank Viral Acharya (discussant), Daniel Andrei (discussant), Adrien d’Avernas (discussant), Yakov Amihud, Zefeng Chen, William Diamond (discussant), Greg Duffee (discussant), Darrell Duffie, Chuck Fang (discussant), Paul Fontanier, Francois Gourio, Valentin Haddad, Zhiguo He, Ben Hebert, Paul Huebner (discussant), Erica Jiang, Jay Kahn (discussant), Ralph Koijen, Arvind Krishnamurthy, Moritz Lenel (discussant), Anna Pavlova, Martin Lettau, Karen Lewis, Jane Li, Tyler Muir, Walker Ray (discussant), Eric Richert (discussant), Robert Richmond, Tom Sargent, Alexi Savov, Alp Simsek, Adi Sunderam (discussant), Selale Tuzel, Quentin Vandeweyer (discussant), Annette Vissing-Jorgensen, Olivier Wang, Motohiro Yogo, Xingtan Zhang, Geoffery Zheng, and seminar and conference participants at the SF Fed, BI-SHoF Conference on Asset Pricing and Financial Econometrics, Junior Valuation Workshop at Wharton, Zurich Quantitative Macroeconomics Workshop, UBC Summer Finance Conference, USC, Chicago Fed, Stanford SITE, Stanford Junior Macro-Finance Conference, SAIF, PBCSF Tsinghua, CKGSB, Peking University Guanghua, NBER Financial Market Frictions and Systemic Risks Conference, UIUC, NYU, CMU Tepper-LAEF Conference, Princeton Macro-Finance Conference, UNSW, ANU, University of Sydney, University of Technology Sydney, UCLA Macro-Finance Lunch, JHU Carey Finance Conference, Berkeley Haas, Miami Conference on Fiscal and Monetary Interactions, 5th David Backus Memorial Conference, MFA meetings, NY Fed, Chicago Treasury Market Conference, Yale SOM, NBER Asset Pricing Meeting, Georgetown, Oxford, Toronto, Lugano, Warwick, Manchester, Lancaster, QRFE Workshop on Quantitative Finance, STFM conference, UIC Finance Conference, Lake Dishui Finance Conference, Hong Kong International Finance Conference, HKUST finance and economic seminars, Fed Conference on Fixed Income Markets, Bank of International Settlements. We gratefully acknowledge financial support from NBER Financial Market Frictions and Systemic Risks initiative. We thank Winston Chen for excellent research assistance. Views expressed are those of the authors and do not necessarily reflect official positions of DNB, the Eurosystem or the National Bureau of Economic Research.

• December 10, 2024
• June 10, 2025