@inbook{aac44828f8ab4c4198f6b48982701e81,
title = "NEGATIVE LIQUIDITY PREMIA AND THE SHAPE OF THE TERM STRUCTURE OF INTEREST RATES: EVIDENCE FROM CHILE",
abstract = "From the early 1980s until the late 1990s the term structure of interest rates in Chile was usually downward sloping, particularly for long maturities. We postulate that the explanation is behind liquidity premium of the term structure of interest rates. Based upon a parsimonious theoretical model, we show that the sign of liquidity premium depends on both expected return and risk. For our sample period 1983-1999, investors were willing to hold long-term assets even though their return was relatively lower. This appears to be a consequence of indexation, which reduced risk of long-term bonds as their return was linked to past inflation.",
author = "Viviana Fern{\'a}ndez",
note = "Funding Information: The author wishes to thank the valuable comments of participants at the 50th Anniversary Meeting of the Midwest Finance Association, Cleveland-Ohio, U.S., March 2001; the XVIII Latin American Meeting of the Econometric Society, Buenos Aires-Argentina, July 2001; at the 14th Australasian Banking and Finance Conference, Sydney-Australia, December 2001; and at the 2002 Financial Management Association Meeting (FMA), San Antonio, Texas, U.S. Financial support from FONDECYT Grant No. 1010512, and from the Hewlett Foundation is greatly acknowledged. All remaining errors are the author{\textquoteright}s.",
year = "2004",
doi = "10.1016/S1569-3767(05)05018-1",
language = "English",
isbn = "0762311630",
series = "International Finance Review",
pages = "385--414",
editor = "Harvey Arbelaez and Click, {Reid William}",
booktitle = "Latin American Financial Markets",
}