The Term Structure of Commercial Paper Rates

54 Pages Posted: 29 Jun 2004

Date Written: April 2004


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: Term structure, expectations hypothesis, commercial paper

JEL Classification: E43

Suggested Citation

Oliner, Stephen D. and Downing, Christopher T., The Term Structure of Commercial Paper Rates (April 2004). Available at SSRN: or

Stephen D. Oliner

American Enterprise Institute ( email )

1150 17th Street, N.W.
Washington, DC 20036
United States
2024195205 (Phone)


Christopher T. Downing (Contact Author)

BlackRock ( email )

3 Garden Road
Hong Kong
Hong Kong

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