NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Liquidity Premium of Near-Money Assets

Stefan Nagel

NBER Working Paper No. 20265
Issued in June 2014

---- Acknowledgements ----

I am grateful for comments to Arvind Krishnamurthy, Francis Longstaff, Paolo Pasquariello, Jose-Luis Peydro, seminar participants at HEC Paris, Michigan, Stanford, Toulouse and participants at the American Economic Association Meetings and the LBS Safe Assets Conference. Mike Schwert and Yesol Huh provided excellent research assistance. I thank Henning Bohn, Daniel Hanson, Allan Mendelowitz, and Paolo Pasquariello for providing data. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.

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