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Medientyp:
E-Artikel
Titel:
Risk Premium Information from Treasury-Bill Yields
Beteiligte:
Lee, Jaehoon
Erschienen:
Cambridge University Press (CUP), 2018
Erschienen in:
Journal of Financial and Quantitative Analysis, 53 (2018) 1, Seite 437-454
Sprache:
Englisch
DOI:
10.1017/s0022109017000813
ISSN:
1756-6916;
0022-1090
Entstehung:
Anmerkungen:
Beschreibung:
I find that short-maturity Treasury-bill yields have unique information about risk premiums that is not spanned by long-maturity Treasury-bond yields. I estimate 2 components of risk premiums: long term and short term. The long-term component steepens the slope of yield curves and has a forecastability horizon of longer than 1 year. In contrast, the short-term component affects Treasury-bill yields but is almost invisible from Treasury bonds, has a forecastability horizon of less than 1 quarter, and is related to bond liquidity premiums.