Référence

Stefan Nagel (Stanford University), « The Liquidity Premium of Near-Money Assets », Paul Woolley Research Initiative Seminar, IDEI, 19 mai 2014, 12h30–14h00, salle MF 323.

Résumé

Near-money assets are money substitutes for storing liquidity. As a consequence, the liquidity premium of near-money assets is tied to the opportunity cost of holding money. When money does not bear interest, this opportunity cost is given by the level of short-term interest rates. The time-series behavior of liquidity premia of T-bills and other near-money assets in the US, Canada, and the UK since the 1970s is consistent with this prediction. In the US, for example, the spread between collateralized interbank lending rates and Treasury bills is strongly positively correlated with the level of shortterm interest rates. In crises, however, the liquidity premium de-couples from its usual relationship with the short-term interest rate. Introduction of interest on excess reserves (IOR) at central banks lowers the opportunity cost of holding money for banks and could therefore change the relationship between the level of short-term interest rates and liquidity premia. I find little evidence, however, that the introduction of IOR in Canada and the UK had much effect on liquidity premia of Treasury bills, which suggests that the introduction of IOR did not substantially lower the opportunity costs of holding money for non-banks.

Partenaire de recherche