Negative nominal interest rates and the liquidity premium

被引：3

作者：

Redding, LS ^{[1
]}

机构：

[1] Univ Glasgow, Dept Econ, Glasgow G12 8RT, Lanark, Scotland

来源：

ECONOMICS LETTERS | 1999年 / 62卷 / 02期

关键词：

treasury securities; liquidity; term structure;

D O I：

10.1016/S0165-1765(98)00225-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the phenomenon whereby the most recently issued ('on-the-run') US Treasury Bond is more heavily traded, and thereby accrues a liquidity premium. This premium is shown to be related to the time the asset will remain heavily traded, and sufficient to cause negative forward nominal interest rates when compared with the prices of similar, less liquid, bonds. (C) 1999 Elsevier Science S.A. All rights reserved.

引用

页码：213 / 216

页数：4

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