The Liquidity Premium of Near-Money Assets*
研究了持有货币的机会成本如何影响近似货币资产的流动性溢价，发现美国、英国和加拿大的短期利率与国库券等资产的流动性溢价呈强正相关，且货币与近似货币资产之间具有高替代弹性。
Abstract This article examines the link between the opportunity cost of money and time-varying liquidity premia of near-money assets. Higher interest rates imply higher opportunity costs of holding money and hence a higher premium for the liquidity service benefits of assets that are close substitutes for money. Consistent with this theory, short-term interest rates in the United States, United Kingdom, and Canada have a strong positive relationship with the liquidity premium of Treasury bills and other near-money assets over periods going back to the 1920s. Once the opportunity cost of money is taken into account, Treasury security supply variables lose their explanatory power for the liquidity premium, except for transitory short-run effects. These findings indicate a high elasticity of substitution between money and near-money assets. As a consequence, a central bank that follows an interest rate operating target not only elastically accommodates and neutralizes shocks to money demand, but effectively also shocks to near-money asset supply and demand.