The Liquidity Premium of Near-Money Assets

By Stefan Nagel. 2014

341 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a418eedd54795505e000330b4df0ba118edb397f

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Citations in the corpus

Investor Flows and Fragility in Corporate Bond Funds (2017, methodology): “As additional measures of fund liquidity, we use a fund’s holdings of cash and government bonds, and compute two holding-based liquidity measures using the Roll (1984) measure based on the serial covariance of bond returns and the interquartile price range based on the dispersion of intraday bond pr”
Global trends in interest rates (2018, neutral): “…is stationary, even though its level might not be.8 Finally, we contribute to the fast-growing literature on the role of convenience yields in depressing the returns of safe assets (e.g., Krishnamurthy and Vissing-Jorgensen, 2012; Greenwood and Vayanos, 2014; Greenwood et al., 2015; Nagel, 2016).”
The impact of Treasury supply on financial sector lending and stability (2015, positive): “This definition of a riskless illiquid short nominal rate follows Nagel (2014). We use expected inflation and the nominal rate to construct a short-term real interest rate for 1946–2014.”
Asset Pricing with Fading Memory (2019, positive): “Instead, we rely on the estimates in Malmendier and Nagel (2011, 2016) from survey data to pin down the value of this parameter at 0.018 for quarterly data.”
An Intertemporal CAPM with Stochastic Volatility (2018, background): “The standard empirical proxy, the nominal Treasury bill return, is not riskless in real terms, and recent papers have argued that this return is affected by the special liquidity of a Treasury bill, which makes it near-money ( Krishnamurthy and Vissing-Jørgensen, 2012; Nagel, 2016 ).”
The U.S. Treasury Premium (2017, neutral): “At the short horizon, the general collateral (GC) repo-Treasury bill (repo-Tbill) spread is considered a measure of the liquidity premium in Treasury bill yields, as the GC repo is secured by Treasury collateral and has very little credit risk, but is not as liquid as Treasury bills (Nagel (2016)).”
Banks, Liquidity Management, and Monetary Policy (2014, positive): “Regarding the measure of liquidity premia, we use two measures constructed in Nagel (2016): the spreads between the generalized collateral repo rate (GC) and the certificate deposit (CD) with respect to the three month T-bill rate.(31) It is worth noting that the liquidity premium is large, reaching”
Tokenomics: Dynamic Adoption and Valuation (2020, neutral): “, Baumol 1952; Tobin 1956; Feenstra 1986; Freeman and Kydland 2000) and empirical studies (e.g., Poterba and Rotemberg 1986; Lucas and Nicolini 2015; Nagel 2016), agents derive utility from the real value of money holdings.”
Measuring Liquidity Mismatch in the Banking Sector: Measuring Liquidity Mismatch in the Banking Sector (2017, neutral): “Given that there is a chance that the liquidity stress episode will end at t + dt, and given that the cost of the liquidity shortfall is linear in the shortfall, it is obvious that the solution will call for ∆t = lt,t as long as wt > 0, after which ∆t = 0.”
Credit Supply and Housing Speculation (2018, neutral): “See also Landier et al. (2015) and Nagel (2016).”
Treasury inconvenience yields during the COVID-19 crisis (2020, neutral): “During periods of financial market turmoil when prices of risky and illiquid assets fall dramatically due to a flight-to-safety and flight-to-liquidity, the price premium of Treasuries typically rises ( Nagel, 2016; Adrian et al., 2019 ).”
The Deposits Channel of Monetary Policy (2017, neutral): “Nagel (2014) links the rates on money market instruments to the cost of liquidity as measured by the Fed funds rate.”