Downing, Chris; Oliner, Stephen - Federal Reserve Board (Board of Governors of the … - 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 …