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The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices / Francis A. Longstaff.
- Format:
- Book
- Author/Creator:
- Longstaff, Francis A.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w9312.
- NBER working paper series no. w9312
- Language:
- English
- Subjects (All):
- Bonds--Prices.
- Bonds.
- Liquidity (Economics).
- Civil service--Salaries, etc.
- Civil service.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2002.
- Cambridge, Mass. : National Bureau of Economic Research, 2002.
- Summary:
- We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of bonds issued by Refcorp, a U.S. Government agency, which are guaranteed by the Treasury. We find a large liquidity premium in Treasury bonds, which can be more than fifteen percent of the value of some Treasury bonds. This liquidity premium is related to changes in consumer confidence, the amount of Treasury debt available to investors, and flows into equity and money market mutual funds. This suggests that the popularity of Treasury bonds directly a.ects their value.
- Notes:
- Print version record
- November 2002.
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