Risk Premium, Liquidity Premium, and Expectations Hypothesis in the Treasury Bill Market

• 영문명: Risk Premium, Liquidity Premium, and Expectations Hypothesis in the Treasury Bill Market
• 발행기관: 한국계량경제학회
• 저자명: Dong Heon Kim
• 간행물 정보: 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.19 No.2, 95~124쪽, 전체 30쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2008.06.30

영문 초록

This paper examines whether the risk premium and the liquidity premium play an important role in explaining excess holding period return and whether two components can explain the empirical failure of expectations hypothesis. The paper finds from the study of U.S. Treasury Bill rates that the risk premium and the liquidity premium are important in explaining excess holding period return. However, the expectations hypothesis is not salvaged under the maintained hypothesis concerning the liquidity premium and risk premium although two premiums improve the forecastability of yield spread. The paper attributes the results to the possibility that the difference between the relative bid-ask spread of T-bill rates is not accurate measure for the time-varying liquidity.

목차

Abstract

Ⅰ. Introduction

Ⅱ. Rational Expectations Hypothesis of Term Structure of Interest Rates

Ⅲ. Liquidity Premium

Ⅳ. Formulation of the Model

Ⅴ. Estimation Results

Ⅵ. Concluding remarks

References

키워드

Risk premium Liquidity premium Expectations hypothesis Term structure