The Aggregate Demand for Treasury Debt by Arvind Krishnamurthy and Annette Vissing-Jorgensen examines how the supply of U.S. Treasury debt influences its yield and the demand for it. The study finds that changes in Treasury supply significantly affect yield spreads, with Treasury yields decreasing by 73 basis points on average from 1926 to 2008. This is attributed to the high liquidity and safety of Treasuries, which make them attractive to investors. The authors analyze the spread between assets with different liquidity and safety characteristics, showing that Treasuries offer liquidity and safety that lower their yields relative to other assets. They also find that the government collects seigniorage from the liquidity and safety attributes of Treasuries, saving interest costs of about 0.25 percent of GDP per year. The study highlights that Treasury interest rates are not an appropriate benchmark for "riskless" rates, and that the capital asset pricing model should use a higher riskless rate than the Treasury rate. The paper also shows that the nondefault component of the corporate bond spread is driven by the liquidity and safety attributes of Treasury bonds. The authors provide empirical evidence of the relationship between Treasury supply and the nondefault component of the corporate bond spread, and they decompose the Treasury convenience yield into liquidity and safety components. The study contributes to the literature on corporate bond pricing and the role of liquidity and safety in asset pricing. The authors also discuss the implications of their findings for macroeconomic theory, including the Ricardian equivalence proposition and the term structure of interest rates. The paper is structured into theoretical and empirical sections, with detailed econometric analysis and data construction. The authors thank various colleagues and participants for their comments and provide a detailed methodology for their analysis. The study provides important insights into the demand for Treasury debt and the factors that influence its yield and demand.The Aggregate Demand for Treasury Debt by Arvind Krishnamurthy and Annette Vissing-Jorgensen examines how the supply of U.S. Treasury debt influences its yield and the demand for it. The study finds that changes in Treasury supply significantly affect yield spreads, with Treasury yields decreasing by 73 basis points on average from 1926 to 2008. This is attributed to the high liquidity and safety of Treasuries, which make them attractive to investors. The authors analyze the spread between assets with different liquidity and safety characteristics, showing that Treasuries offer liquidity and safety that lower their yields relative to other assets. They also find that the government collects seigniorage from the liquidity and safety attributes of Treasuries, saving interest costs of about 0.25 percent of GDP per year. The study highlights that Treasury interest rates are not an appropriate benchmark for "riskless" rates, and that the capital asset pricing model should use a higher riskless rate than the Treasury rate. The paper also shows that the nondefault component of the corporate bond spread is driven by the liquidity and safety attributes of Treasury bonds. The authors provide empirical evidence of the relationship between Treasury supply and the nondefault component of the corporate bond spread, and they decompose the Treasury convenience yield into liquidity and safety components. The study contributes to the literature on corporate bond pricing and the role of liquidity and safety in asset pricing. The authors also discuss the implications of their findings for macroeconomic theory, including the Ricardian equivalence proposition and the term structure of interest rates. The paper is structured into theoretical and empirical sections, with detailed econometric analysis and data construction. The authors thank various colleagues and participants for their comments and provide a detailed methodology for their analysis. The study provides important insights into the demand for Treasury debt and the factors that influence its yield and demand.