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An analysis of default and liquidity risk in farm credit system bonds

An analysis of default and liquidity risk in farm credit system bonds

Journal of Agricultural and Resource Economics 32(1): 41-57

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 (29 October 1993 to 28 June 2002) 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. Our data contain evidence of both default and liquidity risk in the spread between the two securities.

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Accession: 013953152

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DOI: 10.2307/40987350

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