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The risk-free U.S. bond rate : errors in construction and use in econometric work

Author

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  • Timothy Q. Cook
  • Patric H. Hendershott

Abstract

Observed differentials among yield series for different types of long-term instruments--U.S. government bonds, municipal bonds, corporate bonds and residential mortgages--vary considerably over time.

Suggested Citation

  • Timothy Q. Cook & Patric H. Hendershott, 1977. "The risk-free U.S. bond rate : errors in construction and use in econometric work," Working Paper 77-03, Federal Reserve Bank of Richmond.
    • Handle: RePEc:fip:fedrwp:77-03
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    References listed on IDEAS

    as
    1. James L. Kichline & P. Michael Laub & Guy V. G. Stevens, 1973. "Obtaining the yield on a standard bond from a sample of bonds with heterogeneous characteristics," Staff Studies 77, Board of Governors of the Federal Reserve System (U.S.).
    2. Mark W. Frankena, 1971. "The Influence of Call Provisions and Coupon Rate on the Yields of Corporate Bonds," NBER Chapters, in: Essays on Interest Rates, Volume 2, pages 134-186, National Bureau of Economic Research, Inc.
    3. Hendershott, Patric H & Kidwell, David S, 1978. "The Impact of Relative Security Supplies: A Test with Data from a Regional Tax-Exempt Bond Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 10(3), pages 337-347, August.
    4. Robichek, Alexander A & Niebuhr, W David, 1970. "Tax-Induced Bias in Reported Treasury Yields," Journal of Finance, American Finance Association, vol. 25(5), pages 1081-1090, December.
    5. Ostas, James R, 1976. "Effects of Usury Ceilings in the Mortgage Market," Journal of Finance, American Finance Association, vol. 31(3), pages 821-834, June.
    6. Joseph Bisignano, 1976. "Inflation and the efficiency of capital markets," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 17-24.
    7. Pesando, James E, 1974. "The Interest Sensitivity of the Flow of Funds through Life Insurance Companies: An Econometric Analysis," Journal of Finance, American Finance Association, vol. 29(4), pages 1105-1121, September.
    8. Colin, J. W. & Bayer, Richard J., 1970. "Calculation of Tax Effective Yields for Discount Instruments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 5(2), pages 265-273, June.
    9. Timothy Q. Cook, 1977. "Changing yield spreads in the U.S. government bond market," Economic Review, Federal Reserve Bank of Richmond, vol. 63(Mar), pages 3-8.
    10. Frank C. Jen & James E. Wert, 1967. "The Effect Of Call Risk On Corporate Bond Yields," Journal of Finance, American Finance Association, vol. 22(4), pages 637-651, December.
    11. Fair, Ray C & Malkiel, Burton G, 1971. "The Determination of Yield Differentials between Debt Instruments of the Same Maturity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 3(4), pages 733-749, November.
    12. Terrell, William T & Frazer, William J, Jr, 1972. "Interest Rates, Portfolio Behavior, and Marketable Government Securities," Journal of Finance, American Finance Association, vol. 27(1), pages 1-35, March.
    13. Gordon Pye, 1967. "The Value Of Call Deferment On A Bond: Some Empirical Results," Journal of Finance, American Finance Association, vol. 22(4), pages 623-636, December.
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    Keywords

    Bonds; Econometrics; Finance; Public;
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