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 language | English (US) |
|---|---|
| Pages (from-to) | 13-20 |
| Number of pages | 8 |
| Journal | Journal of Financial Research |
| Volume | 11 |
| Issue number | 1 |
| DOIs | |
| State | Published - Jan 1 1988 |
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ASJC Scopus subject areas
- Accounting
- Finance
Cite this
THE TERM PREMIA RELATIONSHIP IMPLICIT IN THE TERM STRUCTURE OF TREASURY BILLS. / Heuson, Andrea.
In: Journal of Financial Research, Vol. 11, No. 1, 01.01.1988, p. 13-20.Research output: Contribution to journal › Article
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TY - JOUR
T1 - THE TERM PREMIA RELATIONSHIP IMPLICIT IN THE TERM STRUCTURE OF TREASURY BILLS
AU - Heuson, Andrea
PY - 1988/1/1
Y1 - 1988/1/1
N2 - 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.
AB - 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.
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UR - http://www.scopus.com/inward/citedby.url?scp=84986534197&partnerID=8YFLogxK
U2 - 10.1111/j.1475-6803.1988.tb00062.x
DO - 10.1111/j.1475-6803.1988.tb00062.x
M3 - Article
VL - 11
SP - 13
EP - 20
JO - Journal of Financial Research
JF - Journal of Financial Research
SN - 0270-2592
IS - 1
ER -