The term structure of commercial paper rates |
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Authors: | Chris Downing Stephen Oliner |
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Affiliation: | 1. Jesse H. Jones Graduate School of Management, Rice University, Houston, TX 77005, USA;2. Federal Reserve Board, Washington, DC 20551, USA |
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Abstract: | This paper tests a generalized version of the expectations hypothesis in the market for commercial paper. Our main data set, which is new to the literature, consists of daily yield indexes constructed from the market yields for nearly all commercial paper issued by US corporations between 1998 and 2004. We show that term premia for commercial paper often rise dramatically at year-end. However, once we control for these year-end effects, we find considerable support for the generalized expectations hypothesis in the market for commercial paper. |
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Keywords: | E43 |
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