A search-theoretic model of the term premium

DOI10.3982/TE1945MaRDI QIDQ4586057zbMATH OpenFDO

Authors Athanasios Geromichalos, Lucas Herrenbrueck, Kevin D. Salyer

Publication date 11 September 2018

Published in Theoretical Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 3.0 Unported

Full work available at URL https://doi.org/10.3982/TE1945

zbMATH Keywords

liquiditymonetary-search modelsover-the-counter marketsyield curve

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(14)

• Negative nominal interest rates and the liquidity premium
• Monetary policy and the term premium
• On the optimal quantity of liquid bonds
• The role of trading frictions in financial markets
• Asset prices and standing facilities in a monetary economy
• Bargaining under liquidity constraints: unified strategic foundations of the Nash and Kalai solutions
• Liquidity and private information in asset markets: to signal or not to signal
• Monetary transaction costs and the term premium
• Frictional asset markets and the liquidity channel of monetary policy
• Incomplete markets, liquidation risk, and the term structure of interest rates
• The TIPS liquidity premium
• A tractable model of indirect asset liquidity
• Term structures and firm dynamics: a FAVAR approach
• A model of the convenience yields in on-the-run treasuries

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