The Liquidity Premium of Near-Money Assets
成果类型：
Article
署名作者：
Nagel, Stefan
署名单位：
National Bureau of Economic Research; University of Michigan System; University of Michigan; Center for Economic & Policy Research (CEPR)
刊物名称：
QUARTERLY JOURNAL OF ECONOMICS
ISSN/ISSBN：
0033-5533
DOI：
10.1093/qje/qjw028
发表日期：
2016
页码：
1927-1971
关键词：
摘要：
This article examines the link between the opportunity cost of money and time-varying liquidity premia of near-money assets. Higher interest rates imply higher opportunity costs of holding money and hence a higher premium for the liquidity service benefits of assets that are close substitutes for money. Consistent with this theory, short-term interest rates in the United States, United Kingdom, and Canada have a strong positive relationship with the liquidity premium of Treasury bills and other near-money assets over periods going back to the 1920s. Once the opportunity cost of money is taken into account, Treasury security supply variables lose their explanatory power for the liquidity premium, except for transitory short-run effects. These findings indicate a high elasticity of substitution between money and near-money assets. As a consequence, a central bank that follows an interest rate operating target not only elastically accommodates and neutralizes shocks to money demand, but effectively also shocks to near-money asset supply and demand.
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