The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices

University of Chicago Press - Tập 77 Số 3 - Trang 511-526 - 2004
Francis A. Longstaff1,2
1National Bureau of Economic Research (NBER)
2University of California, Los Angeles (UCLA) - Finance Area

Tóm tắt

Từ khóa


Tài liệu tham khảo

10.2307/2328864

Bernanke Ben, 1995, Journal of Economic Perspectives, 9, 27, 10.1257/jep.9.4.27

Boudoukh Jacob, 1991, Journal of Fixed Income, 1, 52, 10.3905/jfi.1991.408018

Boudoukh Jacob, 1993, Review of Financial Studies, 6, 265, 10.1093/rfs/6.2.265

10.1111/0022-1082.00346

10.2307/2328892

10.1086/261155

10.1093/rfs/12.1.197

10.2307/2329369

10.2307/2329437

10.1093/rfs/12.4.687

10.1111/0022-1082.00252

Holmstrom Bengt, 1996, American Economic Review, 86, 187

10.1086/250001

10.1111/0022-1082.00391

10.2307/2329473

10.1016/S0304-405X(99)00060-4

10.1016/S0304-405X(97)00025-1

10.1093/rfs/1.4.357

Kamara Avi, 1994, Journal of Financial and Quantitative Analysis, 29, 403, 10.2307/2331337

Lippman Steven, 1986, American Economic Review, 76, 43

10.1093/rfs/hhg029

Liu, Jun, Francis A. Longstaff, and Ravit Mandell. 2001. The market price of credit risk: An empirical analysis of interest rate swap spreads. Working paper, University of California, Los Angeles, Anderson School.

10.1086/296586

10.2307/2329335

10.1016/S0304-405X(00)00077-5

Longstaff Francis A, 2001, Review of Financial Studies, 14, 407, 10.1093/rfs/14.2.407

McCulloch, J. Huston, and Heon-Chul Kwon. 1993. U.S. term structure data, 1947-1991. Working Paper no. 93-6, Ohio State University, Department of Economics.

10.1086/296409

Woodford Michael, 1990, American Economic Review, 80, 382