The Effect of Substitute Assets on Yields in Financial Markets
研究货币市场中存在紧密替代资产时，市场规模（作为交易量的代理变量）如何影响收益率与国债利率之间的利差，并以1990年代规模减半的银行承兑汇票市场为例进行实证分析。
We examine the link between volume and liquidity in money markets where there are close substitutes. We find that the size of the market, as a proxy for trading volume, affects yield spreads over T‐bill rates. We examine the bankers acceptances market, when market size declined by half over the decade of the 1990s. Controlling for interest‐rate levels, day‐of‐the‐week, calendar, term structure, credit spread, time‐series, and cross‐equation effects, we find that the substitution effect does not eliminate the impact of market‐size changes on rates, but it does preserve the hierarchy of rates across instruments.