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Volume 9 - June 1974

Contents

Page 7 of 7

Kenneth Trefftzs Student Award

  • Comment: The Effect of Interest-Rate Risk on Liquidity Premiums: An Empirical Investigation

  • Burton Zwick
  • Published online by Cambridge University Press:
    19 October 2009, pp. 911-913

  • The classic article about liquidity premiums is Kessel [3]. Kessel regresses the liquidity premium, measured as the difference between the forward rate and the actual future spot rate, against the current spot rate and observes a positive relation between the level of the current spot rate and the size of the liquidity premium. Olsen alters Kessel's model in two respects. First, he introduces a proxy for risk or uncertainty about interest rates as an additional determinant of the liquidity premium. Second, instead of using the actual future spot rate as a measure of the expected future spot rate, he specifies the expected future spot rate as a linear combination of the current and past spot rates.

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Front matter

  • JFQ volume 9 issue 5 Cover and Front matter

  • Published online by Cambridge University Press:
    19 October 2009, pp. f1-f5
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Page 7 of 7