30 Pages Posted: 22 Aug 2011 Last revised: 8 Apr 2016
Date Written: March 9, 2016
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.
Suggested Citation: Suggested Citation
Lee, Jaehoon, Risk Premium Information from Treasury Bill Yields (March 9, 2016). Journal of Financial and Quantitative Analysis (JFQA), Forthcoming. Available at SSRN: https://ssrn.com/abstract=1914226 or http://dx.doi.org/10.2139/ssrn.1914226
By Jaehoon Lee
By Haoxiang Zhu