Maturity-Specific Disturbances and the Term Structure of Interest Rates
研究美国国债市场中期限特定扰动的重要性，这种扰动源于按期限划分的市场供需失衡，是市场分割的一种形式，但此前研究较少。
SEGMENTATION IN SECURITIES MARKETS is usually incorporated into models of the term structure of interest rates through liquidity premiums associated with the forward rate structure [1 1, 12, 18] or maturity-specific disturbances associated with supply and demand imbalances in markets indexed by maturity [2]. While the nature of liquidity premiums has been investigated in several recent studies [e.g., 2, 1S20], much less attention has been given to the second marketspecific form of segmentation. ' The purpose of this present paper is to investigate the importance of maturity-specific disturbances in markets for U.S. Treasury securities. Liquidity preference is often studied in the context of single equation models relating a long-term rate to other macroeconomic variables thought to be determinants of expectations and liquidity premiums. Since both expectations and liquidity premiums are inherently unobservable, this approach necessarily involves testing a joint hypothesis about the formation of expectations and the determinants of pre-