THE TERM PREMIA RELATIONSHIP IMPLICIT IN THE TERM STRUCTURE OF TREASURY BILLS

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Abstract

This 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 [] 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 manner.

Original languageEnglish (US)
Pages (from-to)13-20
Number of pages8
JournalJournal of Financial Research
Volume11
Issue number1
DOIs
StatePublished - Jan 1 1988

ASJC Scopus subject areas

  • Accounting
  • Finance

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