Payment Delays: Bias in the Yield Curve: Note
指出，如果政府证券市场中的支付延迟（如支票清算或经纪账户延迟）被定价但未纳入定价方程，会导致观察到的收益率曲线向上倾斜，即使所有远期利率相等且纯预期理论成立，也会产生虚假的流动性溢价。
Most empirical research has found positive liquidity or term premiums. This paper shows that a completely spurious premium may be embedded in the observed yield curve. If payment delays say, those due to checkslearing or brokerage accountsl in the government securities markets are priced, but are not explicitly incorporated into pricing equations, they cause divergences between the true time until maturity and the maturity reported in the Elnancial press. This, in turn, causes yield curves constructed from observed rates to slope up, even if all forward rates are equal and if Hicks's puresxpectations theory (1946 hereafter, PE1 ) is true. These payment delays cause some estimators of premiums to have positive expected values, even if the PET is true. 1 hese apparent premiums are not only positive, but they also vary in a manner consistent with important empirical results. Therefore, the evidence concerning liquidity premiums must be reexamined. Our results do not dispel all of the empirical evidence against the puresxpectations theory. They do, however, serve to caution researchers against dismissing the bias payment delays may induce.