The term structure of commercial paper rates

Chris Downing and Stephen Oliner ()

No 2004-18, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper tests the expectations hypothesis in the market for commercial paper. Our main dataset, which is new to the literature, consists of daily indexes constructed from the actual market yields for nearly all commercial paper issued by U.S. corporations between January 1998 and August 2003. We show that the term premia built into commercial paper yields rise dramatically at year-end, causing the expectations hypothesis to be rejected. However, once we control for these predictable year-end effects, we find the reverse--that commercial paper yields largely conform with the expectations hypothesis.

Keywords: Commercial; paper; issues (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-fin and nep-fmk
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The term structure of commercial paper rates (2007)
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