Discussion paper

DP12086 The Private Production of Safe Assets

Do claims on the private sector serve the role of safe assets? We answer this question using high-frequency panel data on prices and quantities of certificates of deposit (CD) and commercial paper (CP) issued in Europe. We show that only very short-term private securities benefit from a premium for safety. We then use several sources of variation to show that the issuance of short-term CDs strongly responds to measures of safety demand. The private production of safe assets is stronger for issuers with high credit worthiness, and breaks down during episodes of market stress. We conclude that even very short-term private assets are sensitive to changes in the information environment and should not be treated as equally safe at all times.


Vuillemey, G, M Kacperczyk and C Perignon (2017), ‘DP12086 The Private Production of Safe Assets‘, CEPR Discussion Paper No. 12086. CEPR Press, Paris & London. https://cepr.org/publications/dp12086