The term structure of very short-term rates: New evidence for the expectations hypothesis ☆

By Francis A. Longstaff. 2000

195 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e68bcebd609a468c827bdb5d60cf4a4f1198b7a0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Likelihood-based specification analysis of continuous-time models of the short-term interest rate (2003, methodology): “It is almost certainly too large to be attributed to the term structure and is more likely the result of institutional or microstructure effects of some sort (e.g., Longstaff (2000) points out that short-term Treasury-bill rates may be lower than the true riskless rate).”
Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors (2005, unknown): “Longstaff (2000b) finds that tests fail to reject the expectations hypothesis at the short end of the term structure and argues that the failure of the expectations hypothesis may be due to a liquidity premium in Treasury Bill rates.”
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2000, background): “In a recent paper, Longstaff (2000) suggests considering general Treasury collateral repo rates as an alternative measure of the riskless rate.”
Affine Term Structure Models (2010, unknown): “Longstaff (2000a) argues that market incompleteness may make it impossible to actually exploit such arbitrage opportunities.”
The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices (2002, unknown): “Thus, there is no guarantee that an arbitrageur would be able to keep his 9For a discussion of special repo rates, see Duffie (1996), Jordan and Jordan (1997), and Liu and Longstaff (2000a).”
A consumption-based model of the term structure of interest rates ☆ (2006, unknown): “Thus, the model can fit the equity premium puzzle of Mehra and Prescott (1985).”
Bond Liquidity Premia (2012, background): “4See Longstaff (2000) for evidence that liquidity is priced for short-term U.S. Treasury security and Longstaff (2004) for U.S. Treasury bonds of longer maturities.”
The Liquidity Premium of Near-Money Assets (2014, background): “The spread between the repo rate and T-bills reflects this liquidity differential (Longstaff 2000).”
The Term Structure of Interbank Risk (2012, unknown): “Therefore, one can get an idea about the magnitude of Λ by examining the spreads between shortterm OIS rates and repo rates, which are virtually risk-free due to the practice of overcollateralization of repo loans; see, e.g., Longstaff (2000).”