Abstract

http://ssrn.com/abstract=1914226
 
 

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Risk Premium Information from Treasury Bill Yields


Jaehoon Lee


University of New South Wales (UNSW)

January 8, 2016


Abstract:     
This paper finds that short-maturity Treasury-bill yields have unique information about risk premiums that is not spanned by long-maturity Treasury-bond yields. I estimate two components of risk premiums: one is for long-term and the other is for short-term. The long-term component steepens the slope of yield curves and has forecastability horizon of longer than one year. In contrast, the short-term component affects Treasury-bill yields but almost invisible from Treasury bonds, has forecastability horizon of less than one quarter, and is related to bond liquidity premiums.

Number of Pages in PDF File: 30


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Date posted: August 22, 2011 ; Last revised: January 18, 2016

Suggested Citation

Lee, Jaehoon, Risk Premium Information from Treasury Bill Yields (January 8, 2016). Available at SSRN: http://ssrn.com/abstract=1914226 or http://dx.doi.org/10.2139/ssrn.1914226

Contact Information

Jaehoon Lee (Contact Author)
University of New South Wales (UNSW) ( email )
Sydney, NSW 2052
Australia
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