The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
The Journal of Business, 2004, vol. 77, issue 3, 511-526
This article examines whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of bonds issued by Refcorp, a U.S. government agency, which are guaranteed by the Treasury. It finds a large liquidity premium in Treasury bonds, which can be more than 15% of the value of some Treasury bonds. This liquidity premium is related to changes in consumer confidence, the amount of Treasury debt available to investors, and flows into equity and money market mutual funds. This suggests that the popularity of Treasury bonds directly affects their value.
References: Add references at CitEc
Citations View citations in EconPapers (118) Track citations by RSS feed
Downloads: (external link)
http://dx.doi.org/10.1086/386528 main text (application/pdf)
Access to the online full text or PDF requires a subscription.
Working Paper: The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:77:y:2004:i:3:p:511-526
Access Statistics for this article
More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().