메뉴 건너뛰기




Volumn 77, Issue 3, 2004, Pages 511-526

The flight-to-liquidity premium in U.S. treasury bond prices

Author keywords

[No Author keywords available]

Indexed keywords


EID: 4344586288     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/386528     Document Type: Article
Times cited : (390)

References (30)
  • 1
    • 84977725247 scopus 로고
    • Liquidity, maturity, and the yields on U.S. Treasury securities
    • Amihud, Yakov, and Haim Mendelson. 1991. Liquidity, maturity, and the yields on U.S. Treasury securities. Journal of Finance 46 (September): 1411-25.
    • (1991) Journal of Finance , vol.46 , Issue.SEPTEMBER , pp. 1411-1425
    • Amihud, Y.1    Mendelson, H.2
  • 2
    • 0002516839 scopus 로고
    • Inside the black box: The credit channel of monetary policy transmission
    • Bernanke, Ben, and Mark Gertler. 1995. Inside the black box: The credit channel of monetary policy transmission. Journal of Economic Perspectives 9 (Autumn): 27-48.
    • (1995) Journal of Economic Perspectives , vol.9 , Issue.AUTUMN , pp. 27-48
    • Bernanke, B.1    Gertler, M.2
  • 3
    • 0013249647 scopus 로고
    • The benchmark effect in the Japanese government bond market
    • Boudoukh, Jacob, and Robert F. Whitelaw. 1991. The benchmark effect in the Japanese government bond market. Journal of Fixed Income 1 (September): 52-59.
    • (1991) Journal of Fixed Income , vol.1 , Issue.SEPTEMBER , pp. 52-59
    • Boudoukh, J.1    Whitelaw, R.F.2
  • 4
    • 21144474749 scopus 로고
    • Liquidity as a choice variable: A lesson from the Japanese government bond market
    • -. 1993. Liquidity as a choice variable: A lesson from the Japanese government bond market. Review of Financial Studies 6 (Summer): 265-92.
    • (1993) Review of Financial Studies , vol.6 , Issue.SUMMER , pp. 265-292
  • 5
    • 0041075284 scopus 로고    scopus 로고
    • The price of options illiquidity
    • Brenner, Menachem, Rafi Eldor, and Shmuel Hauser. 2001. The price of options illiquidity. Journal of Finance 56 (April): 789-805.
    • (2001) Journal of Finance , vol.56 , Issue.APRIL , pp. 789-805
    • Brenner, M.1    Eldor, R.2    Hauser, S.3
  • 6
    • 84993843853 scopus 로고
    • Liquidity, reconstitution, and the value of U.S. Treasury strips
    • Daves, Philip R., and Michael C. Ehrhardt. 1993. Liquidity, reconstitution, and the value of U.S. Treasury strips. Journal of Finance 48 (March): 315-29.
    • (1993) Journal of Finance , vol.48 , Issue.MARCH , pp. 315-329
    • Daves, P.R.1    Ehrhardt, M.C.2
  • 7
    • 85010390101 scopus 로고
    • Bank runs, deposit insurance, and liquidity
    • Diamond, Douglas, and Philip Dybvig. 1983. Bank runs, deposit insurance, and liquidity. Journal of Political Economy 91 (June): 401-19.
    • (1983) Journal of Political Economy , vol.91 , Issue.JUNE , pp. 401-419
    • Diamond, D.1    Dybvig, P.2
  • 8
    • 0033477947 scopus 로고    scopus 로고
    • Estimating the price of default risk
    • Duffee, Gregory. 1999. Estimating the price of default risk. Review of Financial Studies 12 (Spring): 197-226.
    • (1999) Review of Financial Studies , vol.12 , Issue.SPRING , pp. 197-226
    • Duffee, G.1
  • 9
    • 0038693107 scopus 로고    scopus 로고
    • Special repo rates
    • Duffie, Darrell. 1996. Special repo rates. Journal of Finance 51 (June): 493-526.
    • (1996) Journal of Finance , vol.51 , Issue.JUNE , pp. 493-526
    • Duffie, D.1
  • 10
    • 0006069985 scopus 로고    scopus 로고
    • An econometric model of the term structure of interest rate swap spreads
    • Duffie, Darrell, and Kenneth Singleton. 1997. An econometric model of the term structure of interest rate swap spreads. Journal of Finance 52 (September): 1287-1321.
    • (1997) Journal of Finance , vol.52 , Issue.SEPTEMBER , pp. 1287-1321
    • Duffie, D.1    Singleton, K.2
  • 11
    • 0033416234 scopus 로고    scopus 로고
    • Modeling term structures of defaultable bonds. Special issue
    • -. 1999. Modeling term structures of defaultable bonds. Special issue, Review of Financial Studies 12, no.4:687-720.
    • (1999) Review of Financial Studies , vol.12 , Issue.4 , pp. 687-720
  • 12
    • 0039250932 scopus 로고    scopus 로고
    • Financial innovation and the role of derivative securities: An empirical analysis of the U.S. Treasury's STRIPS program
    • Grinblatt, Mark, and Francis A. Longstaff. 2000. Financial innovation and the role of derivative securities: An empirical analysis of the U.S. Treasury's STRIPS program. Journal of Finance 55 (June): 1415-36.
    • (2000) Journal of Finance , vol.55 , Issue.JUNE , pp. 1415-1436
    • Grinblatt, M.1    Longstaff, F.A.2
  • 13
    • 0000442689 scopus 로고    scopus 로고
    • Modeling aggregate liquidity
    • Holmström, Bengt, and Jean Tirole. 1996. Modeling aggregate liquidity. American Economic Review 86 (May): 187-91.
    • (1996) American Economic Review , vol.86 , Issue.MAY , pp. 187-191
    • Holmström, B.1    Tirole, J.2
  • 14
    • 20144363229 scopus 로고    scopus 로고
    • Private and public supply of liquidity
    • -. 1998. Private and public supply of liquidity. Journal of Political Economy 106 (February): 1-40.
    • (1998) Journal of Political Economy , vol.106 , Issue.FEBRUARY , pp. 1-40
  • 15
    • 0041028794 scopus 로고    scopus 로고
    • LAPM: A liquidity-based asset pricing model
    • -. 2001. LAPM: A liquidity-based asset pricing model. Journal of Finance 56 (October): 1837-67.
    • (2001) Journal of Finance , vol.56 , Issue.OCTOBER , pp. 1837-1867
  • 16
    • 0010777857 scopus 로고    scopus 로고
    • Special repo rates: An empirical analysis
    • Jordan, Bradford, and Susan Jordan. 1997. Special repo rates: An empirical analysis. Journal of Finance 52 (December): 2051-72.
    • (1997) Journal of Finance , vol.52 , Issue.DECEMBER , pp. 2051-2072
    • Jordan, B.1    Jordan, S.2
  • 17
  • 18
    • 0031256725 scopus 로고    scopus 로고
    • Negative option values are possible: The impact of Treasury bond futures on the cash U.S. Treasury market
    • Jordan, Bradford, and David Kuipers. 1997. Negative option values are possible: The impact of Treasury bond futures on the cash U.S. Treasury market. Journal of Financial Economics 46 (October): 67-102.
    • (1997) Journal of Financial Economics , vol.46 , Issue.OCTOBER , pp. 67-102
    • Jordan, B.1    Kuipers, D.2
  • 19
    • 0011412051 scopus 로고
    • Market trading structures and asset pricing: Evidence from the Treasury-bill markets
    • Kamara, Avi. 1988. Market trading structures and asset pricing: Evidence from the Treasury-bill markets. Review of Financial Studies 1 (Winter): 357-75.
    • (1988) Review of Financial Studies , vol.1 , Issue.WINTER , pp. 357-375
    • Kamara, A.1
  • 20
    • 84971946814 scopus 로고
    • Liquidity, taxes, and short-term Treasury yields
    • -. 1994. Liquidity, taxes, and short-term Treasury yields. Journal of Financial and Quantitative Analysis 29 (September): 403-17.
    • (1994) Journal of Financial and Quantitative Analysis , vol.29 , Issue.SEPTEMBER , pp. 403-417
  • 21
    • 0002577777 scopus 로고
    • An operational measure of liquidity
    • Lippman, Steven, and John McCall. 1986. An operational measure of liquidity. American Economic Review 76 (March): 43-55.
    • (1986) American Economic Review , vol.76 , Issue.MARCH , pp. 43-55
    • Lippman, S.1    McCall, J.2
  • 22
    • 4344650887 scopus 로고    scopus 로고
    • Losing money on arbitrages: Optimal dynamic portfolio choice in markets with arbitrage opportunities
    • Liu, Jun, and Francis A. Longstaff. 2004. Losing money on arbitrages: Optimal dynamic portfolio choice in markets with arbitrage opportunities. Review of Financial Studies 17 (Fall): 611-41.
    • (2004) Review of Financial Studies , vol.17 , Issue.FALL , pp. 611-641
    • Liu, J.1    Longstaff, F.A.2
  • 24
    • 21144476026 scopus 로고
    • Are negative option prices possible? The callable U.S. Treasury bond puzzle
    • Longstaff, Francis A. 1992. Are negative option prices possible? The callable U.S. Treasury bond puzzle. Journal of Business 65 (October): 571-92.
    • (1992) Journal of Business , vol.65 , Issue.OCTOBER , pp. 571-592
    • Longstaff, F.A.1
  • 25
    • 84993915034 scopus 로고
    • How much can marketability affect security values?
    • -. 1995. How much can marketability affect security values? Journal of Finance 50 (December): 1767-74.
    • (1995) Journal of Finance , vol.50 , Issue.DECEMBER , pp. 1767-1774
  • 26
    • 0034364807 scopus 로고    scopus 로고
    • The term structure of very short-term rates: New evidence for the expectations hypothesis
    • -. 2000. The term structure of very short-term rates: New evidence for the expectations hypothesis. Journal of Financial Economics 58 (December): 397-415.
    • (2000) Journal of Financial Economics , vol.58 , Issue.DECEMBER , pp. 397-415
  • 27
    • 0035587953 scopus 로고    scopus 로고
    • Optimal portfolio choice and the valuation of illiquid assets
    • -. 2001. Optimal portfolio choice and the valuation of illiquid assets. Review of Financial Studies 14 (Summer): 407-31.
    • (2001) Review of Financial Studies , vol.14 , Issue.SUMMER , pp. 407-431
  • 28
    • 0039622268 scopus 로고
    • U.S. term structure data, 1947-1991
    • Ohio State University, Department of Economics
    • 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.
    • (1993) Working Paper no. 93-6
    • McCulloch, J.H.1    Kwon, H.-C.2
  • 29
    • 0001491925 scopus 로고
    • Parsimonious modeling of yield curves
    • Nelson, Charles, and Andrew Siegel. 1987. Parsimonious modeling of yield curves. Journal of Business 60 (October): 473-89.
    • (1987) Journal of Business , vol.60 , Issue.OCTOBER , pp. 473-489
    • Nelson, C.1    Siegel, A.2
  • 30
    • 0038701398 scopus 로고
    • Public debt as private liquidity
    • Woodford, Michael. 1990. Public debt as private liquidity. American Economic Review 80 (May): 382-88.
    • (1990) American Economic Review , vol.80 , Issue.MAY , pp. 382-388
    • Woodford, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.