The term structure of commercial paper rates

• 成果类型: Article
• 署名作者: Downing, Chris; Oliner, Stephen
• 署名单位: Rice University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.09.007
• 发表日期: 2007
• 页码: 59-86
• 关键词: term structure; expectations hypothesis; COMMERCIAL PAPER

摘要

This paper tests a generalized version of the expectations hypothesis in the market for commercial paper. Our main data set, which is new to the literature, consists of daily yield indexes constructed from the market yields for nearly all commercial paper issued by US corporations between 1998 and 2004. We show that term premia for commercial paper often rise dramatically at year-end. However, once we control for these year-end effects, we find considerable support for the generalized expectations hypothesis in the market for commercial paper. (c) 2006 Elsevier B.V. All rights reserved.