Hostname: page-component-586b7cd67f-vdxz6 Total loading time: 0 Render date: 2024-11-26T17:53:17.307Z Has data issue: false hasContentIssue false
  • English
  • Français

The Effect of Interest-Rate Risk on Liquidity Premiums: An Empirical Investigation

Published online by Cambridge University Press:  19 October 2009

Robert A. Olsen
Get access Rights & Permissions [Opens in a new window]

Extract

This paper investigates the relationship between interest-rate risk and liquidity premiums on U.S. Treasury bills. Interest-rate risk stems from uncertainty about the future general level of market interest rates.

Type
Kenneth Trefftzs Student Award
Information
Journal of Financial and Quantitative Analysis , Volume 9 , Issue 5 , November 1974 , pp. 901 - 910
Copyright
Copyright © School of Business Administration, University of Washington 1974

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Bonello, Frank J.The Formulation of Expected Interest Rates: An Examination of Alternative Hypotheses. East Lansing, Michigan: Michigan State University Press, 1969.Google Scholar
[2]Cagan, Phillip. “A Study of Liquidity Premiums on Federal and Municipal Government Securities.” Essays on Interest Rates, edited by Guttentag, Jack M. and Cagan, Phillip. New York: National Bureau of Economic Research, 1969, pp. 107–142.Google Scholar
[3]Cohen, Bruce C. “The Effects of Multicollinearity on Regression Measures.” Chicago: Federal Reserve Bank of Chicago (mimeographed).Google Scholar
[4]Fisher, Irving. The Theory of Interest. New York: The Macmillan Co., 1930.Google Scholar
[5]Gibson, William E. “Interest Rates and Inflationary Expectations: New Evidence.” American Economic Review, vol. 62 (December 1972), pp. 854–864.Google Scholar
[6]Hicks, John R.Value and Capital, 2nd ed.London: Oxford University Press, 1942.Google Scholar
[7]Kahn, R. F. “Some Notes of Liquidity Preference.” Review of the Manchester School of Economics and Social Studies, vol. 22 (September 1954), pp. 229–257.CrossRefGoogle Scholar
[8]Kahneman, Daniel, and Tversky, Amos. “On the Psychology of Prediction.” Oregon Research Institute Bulletin, vol. 12 (October 1972), pp. 1–30.Google Scholar
[9]Kessel, Reuben A.The Cyclical Behavior of the Term Structure of Interest Rates. New York: National Bureau of Economic Research, 1965.Google Scholar
[10]Malkiel, Burton G.The Term Structure of Interest Rates: Expectations and Behavior Patterns. Princeton, New Jersey: Princeton University Press, 1966.Google Scholar
[11]Modigliani, Franco and Sutch, Richard. “Innovations in Interest Rate Policy.” American Economic Review, vol. 56 (May 1966), pp. 178–197.Google Scholar
[12]Pyle, David H. “Observed Price Expectations and Interest Rates.” Review of Economics and Statistics, vol. 54 (August 1972), pp. 275–280.CrossRefGoogle Scholar
[13]Steindl, Frank G. “Price Expectations and Interest Rates.” Journal of Money, Credit and Banking, vol. 5 (November 1973), pp. 939–949.CrossRefGoogle Scholar
[14]Telser, Lester G. “A Critique of Some Recent Empirical Research on the Explanation of Term Structure of Interest Rates.” Journal of Political Economy, vol. 75 (August 1967), pp. 546–561.CrossRefGoogle Scholar
[15]Van Home, James C. “Interest Rate Risk and the Term Structure of Interest Rates.” Journal of Political Economy, vol. 63 (August 1965), pp. 344–351.CrossRefGoogle Scholar
[16]Yohe, William P. and Karnosky, Denis S.. “Interest Rates and Price Level Changes, 1952–1969.” Monthly Review of the Federal Reserve Bank of St. Louis, vol. 51 (December 1969), pp. 18–38.Google Scholar