The monotonicity of the term premium

another look

Matthew Richardson*, Paul Richardson, Tom Smith

*Corresponding author for this work

Research output: Contribution to journalArticle

18 Citations (Scopus)

Abstract

This paper reexamines existing evidence regarding the monotonicity of the term premium. Using a recently developed approach for testing inequality constraints, we propose and conduct tests for whether the term premium is monotonic and reach different conclusions from those implied by individual t-statistics on term premiums (even under a Bonferroni-type adjustment). Our results generally support McCulloch's (1987) view that the liquidity preference hypothesis remains unrefuted.

Original languageEnglish
Pages (from-to)97-105
Number of pages9
JournalJournal of Financial Economics
Volume31
Issue number1
DOIs
Publication statusPublished - 1992
Externally publishedYes

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