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The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices
Abstract
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.
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Cites
Inside the black box: the credit channel of monetary policy transmission
Bernanke, B. S., & Gertler, M. (1995) · Journal of Economic Perspectives · doi:10.1257/jep.9.4.27 · Cited by 4,211
Cited by
Bond Supply and Excess Bond Returns
Greenwood, R., & Vayanos, D. (2014) · Review of Financial Studies · doi:10.1093/rfs/hht133 · Cited by 517
A Survey of Systemic Risk Analytics
Bisias, D., Flood, M. D., Lo, A. W., & Valavanis, S. (2012) · SSRN Electronic Journal · doi:10.2139/ssrn.1983602 · Cited by 331
Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds
Chernenko, S., & Sunderam, A. (2016) · doi:10.3386/w22391 · Cited by 117
Metadata
- Authors
- Longstaff, F. A.
- Venue
- The Journal of Business
- Publisher
- University of Chicago Press
- Published
- 2004-07
- Volume
- 77
- Issue
- 3
- Pages
- 511-526
- ISSN
- 0021-9398 (ISSN-L)
- 1537-5374
- OpenAlex
- W2053857213
- Cited by
- 559
- References
- 1
- FWCI
- 24.38
- Type
- journal article
- Language
- en
- Open access
- closed
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