Using high‐frequency, granular panel data on short‐term debt securities issued in Europe, we study the existence, empirical boundaries, and fragility of private assets' safety. We show that only securities with the shortest maturities, issued by banks (certificates of deposit, or CDs), benefit from a safety premium. The supply of such CDs responds positively to excess safety demand. During periods of stress, this relation vanishes for all issuers of private securities, even though their aggregate volumes do not collapse. Other dimensions of heterogeneity, including issuers' balance sheets or their domicile countries' fiscal capacity, are less relevant for private safety.

中文翻译：

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私人生产安全资产

我们使用有关欧洲发行的短期债务证券的高频，精细面板数据，研究了私人资产安全性的存在，经验边界和脆弱性。我们表明，只有银行发行的最短到期期限的证券（存款证明或CDs）才能从安全溢价中受益。此类CD的供应对过度的安全需求有积极的反应。在紧张时期，这种关系对于所有私人证券发行人都将消失，即使它们的总量没有崩溃。异质性的其他方面，包括发行人的资产负债表或其居住国的财政能力，与私人安全的相关性较小。