THE TERM PREMIA RELATIONSHIP IMPLICIT IN THE TERM STRUCTURE OF TREASURY BILLS
作者:
Andrea J. Heuson,
期刊:
Journal of Financial Research
(WILEY Available online 1988)
卷期:
Volume 11,
issue 1
页码: 13-20
ISSN:0270-2592
年代: 1988
DOI:10.1111/j.1475-6803.1988.tb00062.x
数据来源: WILEY
摘要:
AbstractThis paper considers a single coefficient representation of the term premia relationship that appears in treasury bill yield curves. Term premia are defined as positive or negative maturity‐dependent differentials versus the instantaneous nominal spot rate. The term premia function is developed in the context of the Cox, Ingersoll, and Ross [3] Risk‐Averse Preferred Habitat Model and proxies for the degree of risk aversion exhibited by the universe of treasury bill investors at a point in time. Empirical results indicate that term premia are influenced by a set of macroeconomic variables in the expected man
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