| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25216 |
| 来源ID | Working Paper 25216 |
| Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes | |
| Matthias Fleckenstein; Francis A. Longstaff | |
| 发表日期 | 2018-11-05 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We identify a significant premium in the prices of Treasury floating rate notes (FRNs) relative to both Treasury bills and notes. This premium is directly related to the near-constant nature of FRN prices and differs from the liquidity and on-the-run premia in Treasury security prices previously documented in the literature. We find that the premium is related to measures reflecting investor demand for safe assets such as market volatility and flows into money market funds. Ironically, some of the variation in FRN prices may actually be due to changes in the premium for their price stability. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w25216 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582890 |
| 推荐引用方式 GB/T 7714 | Matthias Fleckenstein,Francis A. Longstaff. Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25216.pdf（628KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
