The term structure of commercial paper rates

Journal of Financial Economics

Volumn 83, Issue 1, 2007, Pages 59-86

  Downing, Chris ^a   Oliner, Stephen ^b  

^a RICE UNIVERSITY   (United States)

^b FEDERAL RESERVE BOARD   (United States)

Author keywords

Commercial paper; Expectations hypothesis; Term structure

Indexed keywords

EID: 33845290558     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2005.09.007     Document Type: Article

References (27)

1. Balduzzi P., Bertola G., and Foresi S. A model of target changes and the term structure of interest rates. Journal of Monetary Economics 39 (1997) 223-249
2. Bekaert G., Hodrick R.J., and Marshall D.A. On biases in tests of the expectations hypothesis of the term structure of interest rates. Journal of Financial Economics 44 (1997) 309-348
3. Bekaert G., Hodrick R.J., and Marshall D.A. Peso problem explanations for term structure anomalies. Journal of Monetary Economics 48 2 (2001) 241-270
4. Campbell J.Y., Lo A.W., and MacKinlay A.C. The Econometrics of Financial Markets (1996), Princeton University Press, Princeton, New Jersey
5. Cavanagh C.L., Elliott G., and Stock J.H. Inference in models with nearly integrated regressors. Econometric Theory 11 (1995) 1131-1147
6. Cook T., and Hahn T. Interest rate expectations and the slope of the money market yield curve. Federal Reserve Bank of Richmond Economic Review 76 5 (1990) 3-26
7. Dahlquist M., and Jonsson G. The information in Swedish short-maturity forward rates. European Economic Review 39 (1995) 1115-1131
8. Duffee G.R. Idiosyncratic variation of Treasury bill yields. Journal of Finance 51 2 (1996) 527-551
9. Fama E.F. Term premiums and default premiums in money markets. Journal of Financial Economics 17 (1986) 175-196
10. Gerlach S., and Smets F. The term structure of euro-rates: some evidence in support of the expectations hypothesis. Journal of International Money and Finance 16 2 (1997) 305-321
11. Griffiths M.D., and Winters D.B. The turn of the year in money markets: tests of the risk-shifting window dressing and preferred habitat hypotheses. Journal of Business 78 4 (2005) 1337-1363
12. Hardouvelis G.A. The term structure spread and future changes in long and short rates in G7 countries: is there a puzzle?. Journal of Monetary Economics 33 (1994) 255-283
13. Kozicki S., and Tinsley P.A. Shifting endpoints in the term structure of interest rates. Journal of Monetary Economics 47 (2001) 613-652
14. Lange J., Sack B., and Whitesell W. Anticipations of monetary policy in financial markets. Journal of Money, Credit, and Banking 35 (2003) 889-909
15. Longstaff F.A. The term structure of very short-term rates: new evidence for the expectations hypothesis. Journal of Financial Economics 58 3 (2000) 397-415
16. Mankiw N.G., and Miron J.A. The changing behavior of the term structure of interest rates. Quarterly Journal of Economics 101 2 (1986) 211-228
17. Melino A. The term structure of interest rates: evidence and theory. Journal of Economic Surveys 2 4 (1988) 335-366
18. Moody's Investors Service, 2004. Short-term rating performance and corporate commercial paper defaults. Special comment.
19. Musto D.K. Portfolio disclosures and year-end price shifts. Journal of Finance 52 4 (1997) 1563-1588
20. Musto D.K. Investment decisions depend on portfolio disclosures. Journal of Finance 54 3 (1999) 935-952
21. Roberds W., Runkle D., and Whiteman C.H. A daily view of yield spreads and short-term interest rate movements. Journal of Money, Credit, and Banking 28 1 (1996) 34-53
22. Roush, J.E., 2001. Evidence uncovered: long-term interest rates, monetary policy, and the expectations theory. International Finance Discussion Paper 712. Board of Governors of the Federal Reserve System.
23. Rudebusch G.D. Federal Reserve interest rate targeting, rational, expectations and the term structure. Journal of Monetary Economics 35 (1995) 245-274
24. Shiller R.J., and McCulloch J.H. The term structure of interest rates. In: Friedman B.M., and Hahn F.H. (Eds). Handbook of Monetary Economics vol. 1 (1990), North-Holland, Amsterdam 627-722
25. Simon D.P. Expectations and the Treasury bill-federal funds rate spread over recent monetary policy regimes. Journal of Finance 45 (1990) 567-577
26. Stigum M.L. The Money Market. third ed. (1990), McGraw-Hill, New York
27. Swanson, E.T., 2004. Federal Reserve transparency and financial market forecasts of short-term interest rates. Finance and Economics Discussion Series 2004-6. Board of Governors of the Federal Reserve System.