The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices

By Francis A. Longstaff. 2002

698 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b9711bb410568eb0fb2ee3732fff684dd646a7f1

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Citations in the corpus

Flight to Quality, Flight to Liquidity, and the Pricing of Risk (2004, unknown): “Longstaff (2002) considers the yield spread between the securities of Refcorp, a US government agency, and Treasury securities.”
The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns (2010, background): “Longstaff (2004) compares the yield differential between zerocoupon Treasury and Refcorp bonds and also finds evidence of a large liquidity premium.8 While these studies add valuable insights, they are limited by the short time spans over which high-frequency market microstructure data are…”
Safety, Liquidity, and the Natural Rate of Interest (2017, background): “As in Longstaff et al. (2004), we measure the spread by taking the differences between the constant maturity 10-year points on the Bloomberg fair value curves for Refcorp and Treasury zero-coupon bonds.”
Stock and Bond Market Liquidity: A Long-Run Empirical Analysis (2009, background): “Longstaff (2004) reports a large liquidity premium in Treasury bonds and finds strong evidence that this premium, among other things, is related to changes in flows into equity and money market mutual funds.”
The Aggregate Demand for Treasury Debt (2012, background): “See page 7 of Longstaff (2004).”
Leaning Against the Wind (2007, unknown): “This is how I create a stylized representation of a “flight-toliquidity” (Longstaff (2004)) or a stock-market crash such as that of October 1987. All trades are intermediated by marketmakers who do not derive any utility for holding assets and who are located in a central marketplace which can be vi”
Diversifying away the Risk of War and Cross-Border Political Crisis (2017, unknown): “government bonds), these phenomena differ from each other in that a flight-to-liquidity is characterized by a sudden and strong preference for holding more liquid assets (Vayanos, 2004; Longstaff, 2004), while flight-to-quality refers to shifts from risky assets to safer ones (Baur and Lucey, 2009).”
The Term Structure of Interbank Risk (2012, unknown): “Following Longstaff (2004), we use the spread between yields on Resolution Funding Corporation (Refcorp) bonds and off-the-run Treasuries (specifically, we use the ten-year par yield spread).34 These liquidity 34 In her analysis of the three-month EURIBOR-OIS spread, Schwartz (2010) uses a similar…”
Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, unknown): “Liu, J., and F. Longstaff, 2004, Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities, Review of Financial Studies 17, 611-641.”
Flow and stock effects of large-scale Treasury purchases (2010, unknown): “Longstaff (2004) found also that the Treasury buyback program had significant effects on spreads between Treasuries and other government-guaranteed debt (RefCo bonds), and Greenwood and Vayanos (2010) argue that the purchases served to decrease longer-term Treasury yields relative to shortterm.”
Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, unknown): “Economic theory strongly suggests a risk-return tradeoff in the pricing of risky assets (Sharpe (1964), Merton (1973), Ross (1976)). An unexpected increase in riskiness should be associated with a contemporaneous drop in the asset price and an increase in expected returns. While the first half of th”
Treasury inconvenience yields during the COVID-19 crisis (2020, methodology): “Parameterization We set ˆ τ = 1 as the supply of Treasury bills were mostly unchanged through 2020:Q1 ( He and Krishnamurthy, 2020 ); T is set at 30 years as the longest bond issued by the US Treasury Department.”
Liquidity and Arbitrage in the Market for Credit Risk (2011, background): “The relationship between this measure and transaction costs as well as market impact has been demonstrated by Mahanti et al. (2007). There have also been several attempts to decompose the yield spread on corporate bonds in terms of the component that is related to the defaultable nature of these sec”