Nominal U.S. Treasuries Embed Liquidity Premiums, Too
构建了一个无套利模型，将名义美国国债收益率分解为无摩擦预期利率、无摩擦期限溢价和流动性溢价，并基于1987年1月至2023年8月的数据发现：流动性载荷大于斜率及高阶主成分；名义国债回报的逆周期性主要源于流动性而非无摩擦期限溢价；美联储大规模资产购买主要通过预期利率和无摩擦期限溢价起作用；通胀预期比传统模型显示的更不锚定于美联储价格目标。
Abstract A novel arbitrage-free model of nominal U.S. Treasuries that decomposes yields into frictionless expected rates, frictionless term premiums, and liquidity premiums produces four key results from Jan. 1987 to Aug. 2023. First, liquidity loadings are larger than for the slope and higher-order principal components. Second, the countercyclicality of required nominal Treasury returns owes to liquidity, if anything, not frictionless term premiums. Third, Federal Reserve large-scale asset purchases generally work through expected rates and frictionless term premiums, not liquidity premiums. Fourth, given similar estimates using TIPS, inflation expectations are less moored around the Federal Reserve’s price objectives than other models say.