Go to main content
Did you know? By making a gift to AgEcon Search, you are helping ensure that our small non-profit continues to provide free full-text access to 15,000 visitors a day from 170+ countries
Format
BibTeX
MARCXML
TextMARC
MARC
DublinCore
EndNote
NLM
RefWorks
RIS

Files

Abstract

This study tests for the existence of default and liquidity risk premiums in Farm Credit System bonds. ARCH models are used with over eight years of daily data on yields to maturity of Farm Credit System bonds and U.S. Treasury bonds. Matching five-year maturities for both types of bonds were used. Out data contain evidence of both default and liquidity risk in the spread between the two securities. Elasticity estimates show that the yield spreads are more responsive to default risk than liquidity risk. These sources of risk likely increase the rates agricultural borrowers must pay for loans from the Farm Credit System.

Details

PDF

Statistics

from
to
Export
Download Full History